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The University of Southampton
Southampton Business School

Winning isn't everything: the cross section of stock returns ranked by ex-post performance

Published: 29 September 2016

Dr Richard McGee will be talking at a lecture as part of the seminar series: Centre for Computational Finance and Business Analysis (CCFBA), Department of Banking and Finance



The investment decision is framed as picking the winner of an intra-industry competition to achieve the best one period ahead, risk-adjusted return. The conditional logistic model, more usually applied to forecast the outcome probabilities of competitive sporting events, is applied to forecast the probability of each stock outperforming all of the other stocks in the same industry group. A statistically significant difference is found between the performance of models for forecasting the best performing stocks in an industry and the performance of those same models in ranking stocks outside of the best performingstocks (the relative losers). The results have important implications for the process of stock ranking.


Speaker: Richard McGee, Lecturer, SBS,


Date: 26 October, 13:00-15:00

Room: 02 / 3041



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