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Price-Based Investment Strategies

How Research Discoveries Reinvented Technical Analysis

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  • © 2018

Overview

Authors:
  1. Adam Zaremba

    1. Poznan University of Economics and Business, Poznan, Poland

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  2. Jacob "Koby" Shemer

    1. AlphaBeta, Tel Aviv, Israel

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    You can also search for this author in PubMed   Google Scholar

  • Provides a guide showing how the modern research has reinvented the technical analysis
  • Presents a comprehensive review of the price-based investment strategies, their underlying concepts and explanations
  • Features a real-life verification of numerous quantitative strategies in 24 stock markets around the world

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Table of contents (9 chapters)

  1. Front Matter

    Pages i-xxxiii
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  2. Data, Portfolios, and Performance: How We Test the Strategies

    • Adam Zaremba, Jacob “Koby” Shemer
    Pages 1-15

  3. The Trend Is Your Friend: Momentum Investing

    • Adam Zaremba, Jacob “Koby” Shemer
    Pages 17-86

  4. Trees Do Not Grow to the Sky: Reversals in a Stock Market

    • Adam Zaremba, Jacob “Koby” Shemer
    Pages 87-124

  5. No Pain, No Gain? The Puzzle of Risk-Return Relationship

    • Adam Zaremba, Jacob “Koby” Shemer
    Pages 125-165

  6. Are Stocks Lotteries? The Shape of Distribution Matters

    • Adam Zaremba, Jacob “Koby” Shemer
    Pages 167-193

  7. Januaries, Mays, and Lunar Cycles: Stock Selection with Seasonal Anomalies

    • Adam Zaremba, Jacob “Koby” Shemer
    Pages 195-212

  8. Predicting Prices Based on… Prices? The Role of Nominal Prices

    • Adam Zaremba, Jacob “Koby” Shemer
    Pages 213-225

  9. To Time or Not to Time? Tactical Allocation Across Strategies

    • Adam Zaremba, Jacob “Koby” Shemer
    Pages 227-241

  10. Conclusions

    • Adam Zaremba, Jacob “Koby” Shemer
    Pages 243-245

  11. Back Matter

    Pages 247-302
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Keywords

About this book

This compelling book examines the price-based revolution in investing, showing how research over recent decades has reinvented technical analysis. The authors discuss the major groups of price-based strategies, considering their theoretical motivation, individual and combined implementation, and back-tested results when applied to investment across country stock markets. Containing a comprehensive sample of performance data, taken from 24 major developed markets around the world and ranging over the last 25 years, the authors construct practical portfolios and display their performance—ensuring the book is not only academically rigorous, but practically applicable too. This is a highly useful volume that will be of relevance to researchers and students working in the field of price-based investing, as well as individual investors, fund pickers, market analysts, fund managers, pension fund consultants, hedge fund portfolio managers, endowment chief investment officers, futures traders,and family office investors.

Authors and Affiliations

  • Poznan University of Economics and Business, Poznan, Poland

    Adam Zaremba

  • AlphaBeta, Tel Aviv, Israel

    Jacob "Koby" Shemer

About the authors

Adam Zaremba is Assistant Professor at the Poznań University of Economics and Business, Poland. He is an economist, adviser, and portfolio manager for investment management companies. Zaremba has written numerous research papers on financial markets and is also an individual investor with many years' experience.

Koby (Jacob) Shemer is an experienced asset manager in international capital markets. He is the founder of Analyst IMS, a public asset management firm, and AlphaBeta, a quantitative asset management company. During his career, he has been responsible for managing portfolios of assets totalling billions of US dollars.

Bibliographic Information

  • Book Title: Price-Based Investment Strategies

  • Book Subtitle: How Research Discoveries Reinvented Technical Analysis

  • Authors: Adam Zaremba, Jacob "Koby" Shemer

  • DOI: https://doi.org/10.1007/978-3-319-91530-2

  • Publisher: Palgrave Macmillan Cham

  • eBook Packages: Economics and Finance, Economics and Finance (R0)

  • Copyright Information: The Editor(s) (if applicable) and The Author(s) 2018

  • Hardcover ISBN: 978-3-319-91529-6Published: 13 August 2018

  • Softcover ISBN: 978-3-030-08267-3Published: 05 January 2019

  • eBook ISBN: 978-3-319-91530-2Published: 25 July 2018

  • Edition Number: 1

  • Number of Pages: XXXIII, 302

  • Number of Illustrations: 30 b/w illustrations

  • Topics: Investments and Securities, Personal Finance/Wealth Management/Pension Planning

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