Does the choice of method of forecast of index stock returns and the choice of investment strategy depend on index´s industry affiliation?
|Autor:||Bc. Victoria Dobryashkina|
|Rok:||2015 - letní|
|Vedoucí:|| Ing. Michala Moravcová
|Typ práce:|| Bakalářská
|Abstrakt:||The purpose of this thesis is to analyze and reveal if there is any dependence
of index stock return valuation method on index’s industry affiliation. The
question about profitable strategy to react to valuation method’s forecasts is
also investigated. I focus on three methods of valuation: technical analysis,
time series forecast and combination of rules from both technical and times
series forecast rules, and test them on 10 Dow Jones Industrial Indices.
Double-or-out strategy is compared to buy-and-hold strategy by estimation
of its excess return.
I found no dependence of choice of method on index’s industry affiliation.
However, the double-or-out strategy was proved to outperform buy-and-hold
strategy in all of the industries.