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Positive Returns (positive + return)

Distribution by Scientific Domains

Business, Economics, Finance and Accounting	100%

Selected Abstracts

Forecasting football results and the efficiency of fixed-odds betting

JOURNAL OF FORECASTING, Issue 1 2004
John Goddard
Abstract An ordered probit regression model estimated using 10 years' data is used to forecast English league football match results. As well as past match results data, the significance of the match for end-of-season league outcomes, the involvement of the teams in cup competition and the geographical distance between the two teams' home towns all contribute to the forecasting model's performance. The model is used to test the weak-form efficiency of prices in the fixed-odds betting market. A strategy of selecting end-of-season bets with a favourable expected return according to the model appears capable of generating a positive return. Copyright © 2004 John Wiley & Sons, Ltd. [source]

Improving expected tail loss estimates with neural networks

INTELLIGENT SYSTEMS IN ACCOUNTING, FINANCE & MANAGEMENT, Issue 2 2005
J. R. Aragonés
Expected tail loss (ETL) and other ,coherent' risk measures are rapidly gaining acceptance amongst risk managers due to the limitations of value-at-risk (VaR) as a risk measure. In this article we explore the use of multilayer perceptron supervised neural networks to improve our estimates of ETL numbers using information from both tails of the distribution. We compare the results with the historical simulation approach to the estimation of VaR and ETL. The evaluation results indicate that the ETL estimates using neural networks are superior to historical simulation ETL estimates in all periods except for one, and in that case the historical ETL is slightly superior. Overall, therefore, when the whole period is considered, our results indicate that the network estimates of ETL are superior to the historical ones. Finally, one of the most interesting results of the study is the fact that the neural networks seem to indicate that VaR and ETL (as a function of VaR itself) are dependent not only on the negative returns observed, but also on large positive returns, which indicates that too much emphasis on losses could lead us to overlook important risk information arising from large positive returns. Copyright © 2005 John Wiley & Sons, Ltd. [source]

How efficient is the European football betting market?

JOURNAL OF FORECASTING, Issue 5 2009
Evidence from arbitrage, trading strategies
Abstract This paper assesses the international efficiency of the European football betting market by examining the forecastability of match outcomes on the basis of the information contained in different sets of online and fixed odds quoted by six major bookmakers. The paper also investigates the profitability of strategies based on: combined betting, simple heuristic rules, regression models and prediction encompassing. The empirical results show that combined betting across different bookmakers can lead to limited but highly profitable arbitrage opportunities. Simple trading rules and betting strategies based on forecast encompassing are found capable of also producing significant positive returns. Despite the deregulation, globalization and increased competition in the betting industry over recent years, the predictabilities and profits reported in this paper are not fully consistent with weak-form market efficiency. Copyright © 2008 John Wiley & Sons, Ltd. [source]

Effects of Private and Public Canadian Mergers

CANADIAN JOURNAL OF ADMINISTRATIVE SCIENCES, Issue 2 2005
Ayse Yuce
Abstract This paper examines the merger announcements of Canadian companies between 1994 and 2000 during an exceptional merger boom. The results show that both the target companies and the acquirer companies obtain significant positive abnormal returns during this time period. Companies that acquire private targets with stock have positive returns; however, acquirers of private firms have significantly higher risk compared with those that acquire public targets, despite nonsignificant differences in returns. Acquirers pay significantly less to acquire private firms than public firms, especially with stock. Overall, the findings suggest there is support for a liquidity discount for private firms, and the market is efficient in valuing firms in asymmetric conditions. Résumé Dans cet article, nous examinons les annonces de fusions des compagnies canadiennes entre 1994 et 2000, période de grand boom de fusion. Les résultats montrent qu'au cours de cette période, les compagnies cibles et les compagnies acquéreuses obtiennent des rendements anormaux positifs. Les entreprises qui achètent des cibles privées avec des actions ont des rendements positifs; cependant, ces entreprises ont des risques considérablement plus élevés par rapport aux entreprises qui achètent des cibles publiques nonobstant des différences négligeables dans les rendements. Par ailleurs, les acquéreurs paient nettement moins pour acheter les entreprises privées que pour acheter les entreprises publiques, en particulier celles qui ont des actions. Dans l'ensemble, les résultats de l'étude révèlent qu'il est nécessaire d'escompter la liquidité pour les entreprises privées et que le marché permet de valoriser les entreprises dans les conditions asymétriques. [source]