A Bayesian model averaging approach to enhance value investment

Bird, R; Gerlach, R

A Bayesian model averaging approach to enhance value investment

Bird, R

Gerlach, R

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Publisher:: Feng Chia University
Publication Type:: Journal Article
Citation:: International Journal of Business and Economics, 2006, 5 (2), pp. 111 - 127
Issue Date:: 2006-01

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Field	Value	Language
dc.contributor.author	Bird, R https://orcid.org/0000-0003-0524-9377	en_US
dc.contributor.author	Gerlach, R	en_US
dc.date.issued	2006-01	en_US
dc.identifier.citation	International Journal of Business and Economics, 2006, 5 (2), pp. 111 - 127	en_US
dc.identifier.issn	1607-0704	en_US
dc.identifier.uri	http://hdl.handle.net/10453/6068
dc.description.abstract	Simple financial ratios such as book-to-market are often used to identify value stocks. This paper examines the extent to which fundamental accounting information can be used to better identify truly undervalued value stocks to enhance profit in a simple value strategy. Gibbs sampling and model averaging are used in a logistic regression setting, employing fundamental accounting information as explanatory variables, in the design of an implementable investment strategy applied to markets in the US, the UK and Australia.	en_US
dc.publisher	Feng Chia University	en_US
dc.relation.ispartof	International Journal of Business and Economics	en_US
dc.title	A Bayesian model averaging approach to enhance value investment	en_US
dc.type	Journal Article
utslib.citation.volume	2	en_US
utslib.citation.volume	5	en_US
utslib.for	1502 Banking, Finance and Investment	en_US
utslib.for	1402 Applied Economics	en_US
utslib.for	1403 Econometrics	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
utslib.copyright.status	open_access
pubs.consider-herdc	true	en_US
pubs.issue	2	en_US
pubs.volume	5	en_US

Abstract:

Simple financial ratios such as book-to-market are often used to identify value stocks. This paper examines the extent to which fundamental accounting information can be used to better identify truly undervalued value stocks to enhance profit in a simple value strategy. Gibbs sampling and model averaging are used in a logistic regression setting, employing fundamental accounting information as explanatory variables, in the design of an implementable investment strategy applied to markets in the US, the UK and Australia.

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10453/6068