3 papers
q-fin.GN2021
Trading styles and long-run variance of asset prices
Lawrence Middleton, James Dodd, Simone Rijavec
Trading styles can be classified into either trend-following or mean-reverting. If the net trading style is trend-following the traded asset is more likely to move in the same dire…
q-fin.GN2020
A growth adjusted price-earnings ratio
Graham Baird, James Dodd, Lawrence Middleton
The purpose of this paper is to introduce a new growth adjusted price-earnings measure (GA-P/E) and assess its efficacy as measure of value and predictor of future stock returns. T…
q-fin.GN2019
Quantitative earnings enhancement from share buybacks
Lawrence Middleton, James Dodd, Graham Baird
This paper aims to explore the mechanical effect of a company's share repurchase on earnings per share (EPS). In particular, while a share repurchase scheme will reduce the overall…