16 citations · 16 across the 4 of their papers we have counts for
3 papers · 1 filter
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…
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…
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…