Some mutual funds act as contrarian traders, earning returns in the stock market by providing liquidity, while others demand liquidity and suffer costs of immediacy. The funds’ has increased over time. On average, immediacy exceed their from 1.9% pa. High beta funds, large cap exposed to momentum 2.5% Other results are that average alpha becomes insignificant when accounted for cross-section, p...

During recent years, examining the performance of contrarian strategies has been taken into consideration by scholars and stock market's activists, though several evidences are available based on profitability of this type of strategies, much of them have been referred to American and European's stock markets. In current study, the act of these strategies will be examined in Tehran's stock exch...

During recent years, examining the performance of contrarian strategies has been taken into consideration by scholars and stock market's activists, though several evidences are available based on profitability of this type of strategies, much of them have been referred to American and European's stock markets. In current study, the act of these strategies will be examined in Tehran's stock exch...

Bu çalışma Türkiye’deki İslâmi hisse senetlerinde momentum ve zıtlık anomalilerini araştırmaktadır. amaç için, 10 senedinin haftalık fiyatları kullanılarak doğal bootstrap otomatik varyans rasyo testi gerçekleştirilmiştir. Analiz sonuçları hem de anomalilerinin olduğunu göstermiştir. Ayrıca anomalinin Türk anomalisinden daha fazla görüldüğü stratejilerinin performansının periyodik değişiklikler...

DeBondt and Thaler (1985) have challenged the notions of market efficiency and of rational investor behaviour. According to their findings stock portfolios that experience negative returns tend to outperform portfolios that experience positive returns, during the subsequent period. In other words, stock returns may be predictable, and this may be due to excessive investor optimism and pessimism...

This paper studies an overlapping generations model with multiple securities and heterogeneously informed agents. There are two types of multiplicity of equilibria, one due to noisy rational expectations and the other resulting from self-fulfilling prophecies. Under general conditions, there exists an equilibrium in which stock returns are highly volatile and strongly correlated, even if all un...