منابع مشابه
Profitability of Momentum and Contrarian Strategies Based on Trading Volume in Tehran Stock Exchange: A Comparison of Emerging Market
In this study, the profitability of contrarian and momentum strategies were traded in mid- term based on trading volume. The stocks were categorized into three parts (high, middle and low) at the outset. Then, the relationship between excess return with three components such as cross-sectional risk, lead-lag effect and time-series pattern were examined based on Jegadeesh and Titman approach.The...
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We show that the existence of momentum and contrarian profits imposes restrictions on stochastic discount factors used to price stocks in equity markets. For several widely used asset pricing models, we demonstrate that these restrictions imply testable forms of intertemporal dependence in macroeconomic fundamentals such as consumption growth rate. Extensive empirical analysis provides supporti...
متن کاملprofitability of momentum and contrarian strategies based on trading volume in tehran stock exchange: a comparison of emerging market
in this study, the profitability of contrarian and momentum strategies were traded in mid- term based on trading volume. the stocks were categorized into three parts (high, middle and low) at the outset. then, the relationship between excess return with three components such as cross-sectional risk, lead-lag effect and time-series pattern were examined based on jegadeesh and titman approach.the...
متن کاملProfitability of Contrarian and Momentum Strategies and Market Stability
This paper proposes a continuous-time heterogeneous agent model of investor behaviour consisting of fundamentalist, contrarian, momentum and market maker strategies to study their impact on market stability and profitability. The underlying stochastic delay integro-differential equation model provides a unified approach to model different time horizons of momentum and contrarian strategies, whi...
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Using “A” shares accessible only to local investors (who account for 99% of stock investors in China), this paper tests if short-horizon contrarian and intermediate-horizon investment strategies generate abnormal profits. We find statistically significant abnormal profits for both the arbitrage portfolio-investment strategies. Detailed analysis indicates that: (1) an absolute dominance of non-i...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2017
ISSN: 1556-5068
DOI: 10.2139/ssrn.2942641