Predicting Individual Stock Extreme Returns
February 2, 2011 - Volatility Effects
Are there stock/firm characteristics that usefully predict which stocks will exhibit extreme returns? In their January 2011 paper entitled “Predicting Extreme Returns and Portfolio Management Implications”, Kevin Krieger, Andy Fodor, Nathan Mauck and Greg Stevenson investigate the predictability of extreme returns for individual stocks and the practical import of such predictability for investment portfolios. The… Keep Reading