Exploring the dynamic model of the returns from value stocks and growth stocks using time series mining
作者：
Highlights：
• We explore the dynamic process of the return rates of value stocks and growth stocks.
• We find value stocks exhibit a significantly over-reacting phenomenon.
• We find growth stocks exhibit an obviously under-reacting phenomenon.
• We propose the exponential decay model to explain the dynamic process of returns.
• The exponential decay models could accurately match with the real data.
摘要
•We explore the dynamic process of the return rates of value stocks and growth stocks.•We find value stocks exhibit a significantly over-reacting phenomenon.•We find growth stocks exhibit an obviously under-reacting phenomenon.•We propose the exponential decay model to explain the dynamic process of returns.•The exponential decay models could accurately match with the real data.
论文关键词：Growth stocks,Value stocks,Return rate,Exponential decay model
论文评审过程：Available online 23 June 2014.
论文官网地址：https://doi.org/10.1016/j.eswa.2014.06.036
