200906Picking Up Pennies for ProfitHestonSteven June 2009 |
Picking Up Pennies for Profit200906HestonSteven Picking Up Pennies for Profit
There’s more to “buy low, sell high” than just buying low and selling high. Twitchy markets spew endless, jittery streams of temporary highs and retreating lows. Which low is the “buy” low? When is the “sell” high? A sellers’ high today may be humdrum in a week. Noontime buyers’ rock-bottom low might not impress an hour later. Given these fluctuations in stock prices and the recalibration of highs and lows, traders probe the peaks and valleys in search of patterns and values. New research by Robert Korajczyk (Professor of Finance at the Kellogg School of Management), Kellogg alumnus Ronnie Sadka (Professor of Finance at Boston College), and Steven L. Heston (Professor of Finance at the University of Maryland) reveals surprising patterns that can help predict daily peaks in stock price. This work was deemed so influential in the field of quantitative investment that it was awarded the 2009 Crowell Prize by PanAgora Asset Management. |
HestonSteven200906Picking Up Pennies for Profit Steven L. Heston
Robert Korajczyk Ronnie Sadka |
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