Investment performance of AAII stock screens over diverse markets

Authors

  • David North
  • Jerry Stevens Department of Finance, E. C. Robins School of Business

DOI:

https://doi.org/10.61190/fsr.v24i2.3239

Keywords:

Personal investing, Investment performance, Factor models

Abstract

Individual investors often rely on information services and products to compete with professional investors. To assist in this effort, the American Association of Individual Investors (AAII) offers a variety of screening tools designed to help individuals construct stock portfolios. We extend prior research on AAII screening performance by including more recent investment periods, using more rigorous factor models, and examining both median and mean returns to allow for skewing. Over a period of tumultuous markets with as little as $50,000 to invest, over 30% of the available screens achieved statistically significant excess rates of return unrelated to transaction costs and multifactor risks proposed by efficient market theorists.

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Published

2015-06-30

How to Cite

North, D., & Stevens, J. (2015). Investment performance of AAII stock screens over diverse markets. Financial Services Review, 24(2), 157–176. https://doi.org/10.61190/fsr.v24i2.3239

Issue

Vol. 24 No. 2 (2015): Summer 2015

Section

New Original Submission

License

Copyright (c) 2015 Academy of Financial Services

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