Expected profitability in UK Stocks
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Expected Profitability, the 52-Week High and the Idiosyncratic Volatility Puzzle
Maher Khasawneh; David G. McMillan; Dimos Kambouroudis
- University of Stirling
- ?University of Stirling - Department of Accounting and Finance
Strategy in a nutshell
Expected profitability predicts future returns. Stocks with higher EROA outperform due to combined effects of Tobin’s q, dividend variables, and accruals, generating significant alpha.
Backtest performance
Annualised return3.49%
Volatility2.58%
Beta-0.017
Sharpe ratio1.35
Win rate56%