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Table 3 Out-of-sample with large predictive deviation on the monthly systematic risk β

From: Discovering optimal weights in weighted-scoring stock-picking models: a mixture design approach

No

Concept of small PBR

Concept of large ROE

Concept of large monthly return

Concept of small beta (β)

Concept of large market capitalization

3

0

0

1

0

0

4

0

0

0

1

0

5

0

0

0

0

1

11

0

0

1/2

1/2

0

12

1/2

0

0

0

1/2

18

1/3

0

1/3

1/3

0