Computerized stock screening rules for portfolio selection

Authors

  • Steven C. Gold Department of Finance, Accounting and MIS, Rochester Insitiute of Technology, College of Business, Max Lowenthal Bldg., 1 Lomb Memorial Drive, Rochester, NY 14623, USA
  • Paul Lebowitz Department of Finance, Accounting and MIS, Rochester Insitiute of Technology, College of Business, Max Lowenthal Bldg., 1 Lomb Memorial Drive, Rochester, NY 14623, USA

DOI:

https://doi.org/10.1016/S1057-0810(99)00032-3

Abstract

Recent studies have uncovered several systematic patterns that increase the probability that individual investors can select stock portfolios with excess returns. This study tests the feasibility of using a commercially available computerized stock screening program for investors to take advantage of these patterns. The screening program searches the three major exchanges and selects stocks on both fundamental and technical indicators: low price-to-sales ratio, small firm size, accelerating stock prices above their 50 day moving average, high trading volume, and high earnings growth. Of the 18 models tested between 1994 and 1998, those that allow for selection between exchanges yield portfolio returns that significantly exceed the average market indices. © 1999 Elsevier Science Inc. All rights reserved.

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Published

1999-06-30

How to Cite

Gold, S. C., & Lebowitz, P. (1999). Computerized stock screening rules for portfolio selection. Financial Services Review, 8(2), 61–70. https://doi.org/10.1016/S1057-0810(99)00032-3

Issue

Vol. 8 No. 2 (1999): Financial Services Review

Section

New Original Submission

License

Copyright (c) 1999 JAI Press Inc.

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