Professor Charlie Cai - Official Website

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Semester 2 Teaching

MAN4260M Asset Pricing and MAN4270M Financial Statement Analysis; Check out the PredictCity Trading Game.

LUBS 5038 Security Market Microstructure.  See you in this summber.  Find out more in this page.

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Are the UK stock market and economy set for good year in 2015?

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Last Updated ( Friday, 06 February 2015 10:44 )
 

Stock Index Return Forecast: Information of the Constituents

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Research Update: Forthcoming paper in the Economics Letters, 2012

Aurthors:  Charlie X. CAI, Khine KYAW,Qi ZHANG

We investigate whether the use of component forecasts improve the accuracy of a portfolio forecast which uses only aggregate data.  The results show that the use of component data improves the accuracy of aggregate forecasts.  Furthermore, the long-short trading strategy based on the component forecasts always generates substantially higher returns than the buy-and-hold strategy.

JEL classification: G11, G12, G17

Keywords: Index forecasting, Portfolio strategy, Stock returns.

Download the full paper below.  Your comments are wellcome.

Attachments:
Download this file (Component Forecast 18 Jan 2012.pdf)Component Forecast 18 Jan 2012.pdf[ ]164 Kb
Last Updated ( Monday, 23 January 2012 10:39 )
 

How to download data from Bankscope

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Last Updated ( Monday, 04 July 2011 14:08 )
 
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 Thanks for visiting Charlie's site.  If you have any comments please email Charlie at busxc@leeds.ac.uk.


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