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Journal articles on the topic 'Loser portfolios'

Author: Grafiati

Published: 3 June 2025

Last updated: 31 July 2025

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1

Miswanto, Miswanto, and Anisah Azzahra Ananda Putri. "Investigation of winner-loser portfolio anomalies and size effect anomalies in LQ45 index, Indonesia stock exchange." International Journal of Management and Sustainability 12, no. 4 (2023): 602–18. http://dx.doi.org/10.18488/11.v12i4.3558.

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This study investigates the anomalies of winner-loser portfolios and anomalies of size effect on LQ45 stocks in the Indonesia Stock Exchange (IDX), period 2015-2020. The paired sample t-test (parametric) and Wilcoxon test (non-parametric) are used to test samples. Sample selection is carried out using the non-probability and purposive sampling methods. The shares of companies that met the sample criteria were 26. The primary data used cumulative abnormal returns and market capitalization as proxies for a company's stock size. The anomaly of the winner-loser effect phenomenon is observed by div

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Kusmayadi, Iwan, Djoko Suprayetno, Laila Wardani, Zainal Abidin, and Muhammad Ahyar. "CONTRARIAN STRATEGY: EVIDENCE OF PRICE REVERSAL ON WINNER-LOSER PORTFOLIOS." Distribusi - Journal of Management and Business 12, no. 2 (2024): 259–70. http://dx.doi.org/10.29303/distribusi.v12i2.583.

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This study aims to analyze the effectiveness of the contrarian strategy by demonstrating the existence of price reversal phenomena in winner-loser stock portfolios on the Indonesia Stock Exchange (IDX). This research differs from previous studies by comprehensively exploring the Indonesian stock market (IDX), which has characteristics distinct from developed countries. Thus, this research contributes new insights to the investment literature in emerging markets. The research approach is quantitative, utilizing monthly data in the form of stock closing prices from all companies listed on the ID

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Truong, Loc Dong, Giang Ngan Cao, H. Swint Friday, and Nhien Tuyet Doan. "Overreaction in a Frontier Market: Evidence from the Ho Chi Minh Stock Exchange." International Journal of Financial Studies 11, no. 2 (2023): 58. http://dx.doi.org/10.3390/ijfs11020058.

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The purpose of the study is to investigate the overreaction hypothesis in relation to the Ho Chi Minh Stock Exchange (HOSE). The data used in this study consist of a monthly price series of 392 stocks traded on the HOSE, covering the period starting on 5 January 2004 through to 30 June 2021. The findings derived from the tests examining the differences in excess returns across the winner and loser portfolios confirm that the overreaction phenomenon exists in the HOSE. More specifically, following the creations of the portfolios, the loser portfolio outperformed the winner portfolio by 1.80% an

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Rádóczy, Klaudia, and Ákos Tóth-Pajor. "Investors’ Reactions to Extreme Events in the Hungarian Stock Market." Financial and Economic Review 20, no. 3 (2021): 5–30. http://dx.doi.org/10.33893/fer.20.3.530.

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This paper examines investors’ reactions to extreme events in the Hungarian stock market. We seek to answer the research question whether following extreme events any overreaction of investors can be observed on the Budapest Stock Exchange. With a view to answering the research question, we identify extreme events based on extreme returns on the market portfolio and then – using an event study – we examine abnormal returns on winner and loser equities. After examining investors’ reactions, we inspect the performance of the contrarian strategy in the created event windows. The main result of ou

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Abebe Assefa, Tibebe, Omar A. Esqueda, and Emilios C. Galariotis. "Overreaction evidence from large-cap stocks." Review of Accounting and Finance 13, no. 4 (2014): 310–25. http://dx.doi.org/10.1108/raf-05-2013-0072.

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Purpose – The purpose of this paper is to assess the performance of a contrarian investment strategy focusing on frequently traded large-cap US stocks. Previous criticisms that losers’ gains are not due to overreaction but due to their tendency to be thinly traded and smaller-sized firms than winners are addressed. Design/methodology/approach – Portfolios based on past performance are constructed and it is examined whether contrarian returns exist. The Capital Asset Pricing Model (CAPM), Fama and French three-factor model and the Carhart’s (1997) momentum portfolio are used to test whether exc

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Maiz Jiménez, Jaime González, and Edgar Ortiz Calisto. "Testing the overreaction hypothesis in the mexican stock market." Contaduría y Administración 65, no. 1 (2019): 153. http://dx.doi.org/10.22201/fca.24488410e.2019.1794.

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<p>The objective of this work is to test the overreaction hypothesis in the Mexican Stock Market for the period of 2002-2015, using monthly data and applying the Cumulative Average Residuals (CAR) methodology via the CAPM model and the three-factor model proposed by Fama and French. The CAR model is applied to test how winner and loser portfolios perform during the period under analysis. Overall, the evidence shows that average CAR for the loser portfolio is 0.706%, whereas CAR for the winner portfolio is 0.364%, and that are statistically different; nevertheless, both portfolios are co-

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Wiranata, Jessica Willa, and Anastasia Sri Mendari. "ANALISIS ABNORMAL RETURN PORTOFOLIO WINNER - LOSER PADA PERUSAHAAN YANG TERDAFTAR DI INDEKS KOMPAS 100." Manajemen : Jurnal Ekonomi 3, no. 1 (2021): 88–97. http://dx.doi.org/10.36985/manajemen.v3i1.22.

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This study aims to analyze whether there is a difference in abnormal return average of stock portfolios in winner and loser categories during two different periods namely formation and testing periods to test winner-loser anomaly occurrence. The population of this study was the companies listed in the Kompas 100 Index of Indonesia Stock Exchange from February 2015 to July 2019. A number of 44 companiesused as the samples of this study which selected by using the purposive sampling technique. Parametric paired sample t-test and nonparametric Wilcoxon signed ranks test were used to analyze the d

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Wiranata, Jessica Willa, and Anastasia Sri Mendari. "ANALISIS ABNORMAL RETURN PORTOFOLIO WINNER - LOSER PADA PERUSAHAAN YANG TERDAFTAR DI INDEKS KOMPAS 100." Manajemen : Jurnal Ekonomi 3, no. 1 (2021): 88–97. http://dx.doi.org/10.36985/manajemen.v3i1.525.

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This study aims to analyze whether there is a difference in abnormal return average of stock portfolios in winner and loser categories during two different periods namely formation and testing periods to test winner-loser anomaly occurrence. The population of this study was the companies listed in the Kompas 100 Index of Indonesia Stock Exchange from February 2015 to July 2019. A number of 44 companiesused as the samples of this study which selected by using the purposive sampling technique. Parametric paired sample t-test and nonparametric Wilcoxon signed ranks test were used to analyze the d

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Hsieh, Heng-Hsing, and Kathleen Hodnett. "The Timing Of Equity Mean Reversion In Relation To The Global Economic Cycle." Journal of Applied Business Research (JABR) 28, no. 3 (2012): 291. http://dx.doi.org/10.19030/jabr.v28i3.7155.

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<span style="font-family: Times New Roman; font-size: small;"> </span><p style="margin: 0in 0.5in 0pt; text-align: justify; mso-pagination: none; mso-layout-grid-align: none;" class="MsoNormal"><span style="color: black; font-size: 10pt; mso-themecolor: text1; mso-fareast-language: ZH-HK;"><span style="font-family: Times New Roman;">Investor overreaction results in the systematic overshooting of stock prices and their subsequent mean reversion. International studies on the overreaction hypothesis generally find that the mean reversion of stock returns take place a

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Gumanti, Tatang Ary, Mareita Dewi Kasprianti, and Ana Mufidah. "MARKET OVERREACTION SAHAM LQ-45 TERHADAP PENGUMUMAN ASIAN GAMES KE-18." Wahana: Jurnal Ekonomi, Manajemen dan Akuntansi 22, no. 2 (2019): 186–203. http://dx.doi.org/10.35591/wahana.v22i2.157.

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Sports events are now a big concern for management and sports tourism and have become a big business opportunity that has an impact on the economy, especially for countries that host the event. The Asian Games is one of the biggest sports events in Asia that are held every four years. Indonesia is the country chosen to host the 18th Asian Games which was announced on July 25, 2014. The purpose of this study is to analyze LQ-45 stock whether after Indonesia was announced to host the 18th Asian Games there was a market overreaction and was followed by the emergence of price reversals. The final

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Hadimas, Herly. "OVERREACTION ANOMALY DI PASAR MODAL INDONESIA (STUDI PADA SAHAM-SAHAM LQ-45 TAHUN 2014-2018)." Journal of Business Economics 24, no. 1 (2019): 88–99. http://dx.doi.org/10.35760/eb.2019.v24i1.1857.

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This study aims to analyze whether market overreaction symptoms occur in Indonesia Stock Exchange, specifically on the LQ-45 Index from 2014 to 2018. This research was separated over 6 and 12 months. The sample was consistent stocks of LQ-45 index companies period 2014 to 2018, it is determined by purposive sampling method. Stocks were classified into two portfolios based on the value of Cumulative Abnormal Return (CAR). Winner portfolio was 3 stocks with the highest value of CAR, and loser portfolio was 3 stocks with the lowest value of CAR. Market overreaction is measured by Average Cumulati

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Langenstein, Tim, Martin Užík, Thomas Holtfort, and Roman Warias. "Rolling Momentum Strategy: An Empirical Analysis." SHS Web of Conferences 129 (2021): 03018. http://dx.doi.org/10.1051/shsconf/202112903018.

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Research background: The focus of the momentum strategy, as a procyclical investment strategy, lies in the hypothesis that the winning shares of the past will most likely develop in the same direction in the near future. The same is assumed for the performance of the loser shares. The technical trading rules of relative strength according to Levy provide the basis for this approach (Levy, 1967). The momentum strategy can thus offer investors an opportunity to outperform the market. The creation of portfolios under the momentum strategy follows simple rules: On the basis of past prices, equitie

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Pasaribu, A. Rowland Bismark Fernando. "VALUE AT RISK OF MOMENTUM INVESTMENT STRATEGY: INDONESIA'S LIQUID STOCKS PORTFOLIO." Jurnal Manajemen Indonesia 19, no. 1 (2019): 30. http://dx.doi.org/10.25124/jmi.v19i1.1982.

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The capability of momentum investment strategy was explore through portfolio risk reduction by value at risk method at liquid shares in Indonesia stock exchange period 2008-2016. The purpose of this study are to analyse the value of momentum investment strategy risk reduction with the Value at Risk approach to historical-volatility approach and examine differences in risk reduction performance by winner and loser portfolios formed from a collection of liquid shares in the Indonesia stock exchange for the period 2008-2016. The stocks selection method in forming winners and losers portfolio done

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14

Lee, King Fuei. "AN ANOMALY WITHIN AN ANOMALY: THE HALLOWEEN EFFECT IN THE LONG-TERM REVERSAL ANOMALY." Applied Finance Letters 10 (November 30, 2021): 151–59. http://dx.doi.org/10.24135/afl.v10i.465.

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In this paper, we investigate the presence of the Halloween effect in the long-term reversal anomaly in the US. When we examine the cross-sectional returns of winner-minus-loser portfolios formed on prior returns over the time period of 1931-2021, we find evidence of stronger returns during winter months versus summer months. In particular, the effect appears to be driven by very strong winter-summer seasonality in the portfolio of small-capitalisation losers, and lack of Halloween effect in the portfolio of large-capitalisation winners. Our finding is robust to alternative measures of long-te

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15

Siganos, Antonios. "Momentum returns and size of winner and loser portfolios." Applied Financial Economics 17, no. 9 (2007): 701–8. http://dx.doi.org/10.1080/09603100600722193.

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M. Sembiring, Ferikawita, and . "How Well the Implementation of Carhart Model in Market Overreaction Condition? Evidence in Indonesia Stock Exchange." International Journal of Engineering & Technology 7, no. 4.38 (2018): 928. http://dx.doi.org/10.14419/ijet.v7i4.38.27611.

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This study aims to determine an ability of the four-factor model of Carhart in explaining the portfolio returns formed in condition of market overreaction. The four-factor model is basically a model proposed by Fama and French and then developed by Carhart which adds price momentum factor into the model. While market overreaction is a market condition caused by excessive reactions from investors when receiving information. The portfolios used are the winner and loser formed based on the returns of each portfolio to the average of the returns. Both portfolio consist are the stocks of non-financ

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17

Khan, Anila Rafique, Muhammad Waqas, and Arshad Hassan. "Market Volatility and Momentum: Evidence from Pakistani Stock Exchange." Sukkur IBA Journal of Management and Business 4, no. 1 (2017): 82. http://dx.doi.org/10.30537/sijmb.v4i1.105.

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This study explores the relationship between market volatility and momentum profitability. This study indicates that market state volatility has significant power to forecast momentum payoffs, especially in negative market states. The results are the context in the presence of market state and business cycle variables. Market premium is significant and negative. Market volatility is also found negatively influencing momentum profits. Volatility is divided into volatility in the positive market and volatility in the negative market. Both are significantly and negatively influencing momentum pro

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Filippou, Ilias, Arie E. Gozluklu, and Mark P. Taylor. "Global Political Risk and Currency Momentum." Journal of Financial and Quantitative Analysis 53, no. 5 (2018): 2227–59. http://dx.doi.org/10.1017/s0022109018000686.

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Using a measure of political risk, relative to the United States, that captures unexpected political conditions, we show that political risk is priced in the cross section of currency momentum and contains information beyond other risk factors. Our results are robust after controlling for transaction costs, reversals, and alternative limits to arbitrage. The global political environment affects the profitability of the momentum strategy in the foreign exchange market; investors following such strategies are compensated for the exposure to the global political risk of those currencies they hold

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Febriani, Aulia Putri. "OVERREACTION ANALYSIS OF WINNER AND LOSSER SHARE ON THE INDONESIA STOCK EXCHANGE (CASE STUDY OF LQ-45 INDEX 2016-2019 PERIOD)." International Journal of Economic, Business & Applications 8, no. 2 (2024): 81–96. http://dx.doi.org/10.31258/ijeba.96.

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This study, conducted with a robust and transparent methodology, aims to determine the occurrence of market overreaction on the Indonesian stock exchange. We analyze two distinct periods, semiannual and annual, from 2016 to 2019, focusing on the LQ-45 index. Our methodology involves classifying stocks into two portfolios based on the Cumulative Abnormal Return (CAR) value. The winner portfolio represents one-third of the stocks with the highest CAR value, while the loser portfolio represents one-third with the lowest CAR value. The presence of overreaction is indicated when the loser's portfol

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20

Thomas, Jericho, Masithah Akbar, Yanuar Bachtiar, Rizky Nastiti, and Saifhul Anuar Syahdan. "Overreaction Anomaly on Indonesia Stock Exchange in The JII70 Index for 2020-2022." INTERNATIONAL JOURNAL OF TRENDS IN ACCOUNTING RESEARCH 5, no. 1 (2024): 12–21. http://dx.doi.org/10.54951/ijtar.v5i1.608.

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This research aims to analyse the phenomenon of overreaction anomaly, characterised by differences in cumulative average abnormal returns between winner stock portfolios and loser stock portfolios on the Indonesia Stock Exchange (BEI). The sample used in the research included shares of companies in JII70 and was selected using purposive sampling techniques to obtain 12 company shares. The method for calculating abnormal returns in this research uses the market-adjusted model. In addition, an independent sample t-test was chosen as a statistical test to test the difference between cumulative av

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Sembiring, Ferikawita M., Sulaeman Rahman, Nury Effendi, and Rachmat Sudarsono. "Single Beta and Dual Beta Models: A Testing of CAPM on Condition of Market Overreactions." Journal of Finance and Banking Review Vol. 2 (3) Jul-Sep 2017 2, no. 3 (2017): 01–07. http://dx.doi.org/10.35609/jfbr.2017.2.3(1).

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Objective - A previous study conducted by the same authors found that the conditions of market overreaction occurred in Indonesia and the market factor in CAPM, or a single beta, is able to explain the portfolio returns. As a continuation of that study, we now use the concept of conditional CAPM, or a dual beta, to test whether the performance of the dual beta can outperform the single beta. Methodology/Technique - The research uses the stocks of non-financial sector company on the Indonesian Stock Exchange during the period between July 2005 and December 2015, which have been divided into two

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Mahmoud, Oubay, and Almougheer I. Wardeh. "The Profitability of Momentum Strategies: Empirical Evidence from Damascus Securities Exchange (DSE)." International Journal of Business, Economics and Management 5, no. 1 (2018): 16–29. http://dx.doi.org/10.18488/journal.62.2018.51.16.29.

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The purpose of this study is to examine the profitability of Momentum based- trading strategies and investigate the causes of such profitability in Damascus Securities Exchange (DSE) market. The study analyzed 16 Momentum strategies based on full rebalancing and equally weighted techniques using monthly data from January 2010 to December 2016. The findings of the study showed low but significant Momentum effect, where the returns of Momentum portfolios were statistically positive only in 1 out of 16 strategies. Our findings suggest that Momentum strategy is applicable for winner portfolios whe

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Xiao, Zhongyi, Peng Zhao, Masha Rahnama, and Yaling Zhou. "Winner versus Loser: Time-Varying Performance And Dynamic Conditional Correlation." Journal of Applied Business Research (JABR) 28, no. 4 (2012): 581. http://dx.doi.org/10.19030/jabr.v28i4.7042.

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<span style="font-family: Times New Roman; font-size: small;"> </span><p style="margin: 0in 0.5in 0pt; line-height: 12pt; mso-line-height-rule: exactly;" class="MsoNoSpacing"><span style="color: black; font-family: &quot;Times New Roman&quot;,&quot;serif&quot;; font-size: 10pt; mso-themecolor: text1;">Using multi-factor models in OLS and GARCH-M methodology, this paper provides a cross-sectional and time-series investigation of conditional and unconditional expected returns of real REITs index momentum portfolios against real estate property, large-cap s

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Kouki, Mondher, and Mosbeh Hsini. "The Reversal of Stock Market Trends as a Behavioral Bias: Evidence from Tunisian Stock Exchange." Business and Economic Research 6, no. 2 (2016): 13. http://dx.doi.org/10.5296/ber.v6i2.9326.

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This paper examines the behavioral bias in Tunisia, a country with a small stock market in terms of capital, but surprisingly dynamic in comparison to other emerging markets. Our study is consistent with Jegadeesh & Titman (1993)’ approach as presented to highlight an analysis of such reversal phenomena of portfolio returns, and provides explanatory factors to the so-called market trends reversal. The empirical investigation is based on a weekly database for a period from January 2002 to January 2013 related to stock prices and index values of market capitalization (TUNINDEX). The empirica

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Sembiring, Ferikawita M. "Three-Factor and Five-Factor Models: Implementation of Fama and French Model on Market Overreaction Conditions." Journal of Finance and Banking Review Vol. 3 (4) Oct-Dec 2018 3, no. 4 (2018): 77–83. http://dx.doi.org/10.35609/jfbr.2018.3.4(6).

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Objective - Previous research by this author has stated that the market overreaction phenomenon occurs in the Indonesian capital market and the CAPM (Capital Asset Pricing Model) is able to explain portfolio returns. However, CAPM is still debated along with the emergence of the other asset pricing models, such as the multifactor model proposed by Fama and French. The aim of this research is to test the ability of that model to explain the returns of portfolios formed under market overreaction conditions. Methodology/Technique - The data used in this study is the same as that of the previous r

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Aminian, Abolfazl, Omid Imani Khoshkho, Mojtaba Afsordeh, and Shiroyeh Mohebbi. "Assessment of Profitability Based on Reverse Strategy in Companies Listed in Tehran Stock Exchange." Modern Applied Science 11, no. 4 (2017): 39. http://dx.doi.org/10.5539/mas.v11n4p39.

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Basically, investors in general and investors in securities including shares or bonds, in particular, are always looking for reliable and reasonable models that can help them choosing the number and time of the transaction of purchase and sale of their investments in order to maximize yields and guide them properly. In the last century with the development of financial markets, especially the stock market and more diversified securities of transactions in these markets, and more participation of larger groups of people in stock, their demands have become more important. Two important and widel

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Dewi, N. P. G. K., and N. L. P. Wiagustini. "COMPARATIVE STUDY OF WINNER AND LOSER STOCK PORTFOLIOS' PERFORMANCE IN THE MANUFACTURING SECTOR OF INDONESIA STOCK EXCHANGE." Russian Journal of Agricultural and Socio-Economic Sciences 81, no. 9 (2018): 268–74. http://dx.doi.org/10.18551/rjoas.2018-09.31.

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Tee, Lain-Tze, Si-Roei Kew, and Soo-Wah Low. "Do momentum strategies perform better for Islamic stocks than for conventional stocks across market states?" Ekonomski anali 64, no. 221 (2019): 107–29. http://dx.doi.org/10.2298/eka1921107t.

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This study compares the momentum profitability of Islamic and conventional stocks in Malaysia and examines whether the presence of momentum profits is market-state dependent. Winner portfolios are shown to outperform loser portfolios, suggesting that a momentum effect exists in the equity market. Islamic stocks exhibit stronger momentum than conventional stocks. Interestingly, although pursuing profit is not the primary goal of Islamic stock investors, the findings indicate that momentum profits for all Islamic stock trading strategies are higher than those for conventional stocks. The profits

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Sinlapates, Parichat, and Surachai Chancharat. "Contrarian Profits in Thailand Sustainability Investment-Listed versus in Stock Exchange of Thailand-Listed Companies." Risks 10, no. 12 (2022): 229. http://dx.doi.org/10.3390/risks10120229.

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In contrarian trading, investors buy and sell loser stocks (lowest average historical prices) and winner stocks (highest average historical prices), respectively. This study examines whether (a) Thailand Sustainability Investment-listed companies outperform Stock Exchange of Thailand (SET)-listed companies (from 1 January 2016 to 31 December 2019) in contrarian profits, (b) the five-factor model outperforms their 1993 three-factor model in explaining contrarian profits, and (c) risk drives the earnings of contrarians. Companies were divided into portfolios of winners and losers based on the av

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Yasmin Akter Bipasha. "Market efficiency, anomalies and behavioral finance: A review of theories and empirical evidence." World Journal of Advanced Research and Reviews 15, no. 2 (2022): 827–39. https://doi.org/10.30574/wjarr.2022.15.2.0876.

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The efficient-market hypothesis (EMH) has been a cornerstone of financial theory for over a century, but persistent anomalies in stock markets challenge its validity. This review explores market efficiency, defining the concept and outlining its evolution through weak, semi-strong, and strong-form tests. It also examines key market anomalies—including the Winner–Loser Effect, Momentum Effect, calendar anomalies, and the Equity Premium Puzzle—that question the rationality of market participants. Theories from Behavioral Finance, such as investor heuristics, overconfidence, and herd behavior, ar

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Afifah, Tiara Early, Neneng Hasanah, and Mohammad Iqbal Irfany. "Testing the efficient market hypothesis with Indonesian Islamic Stocks during the Covid-19 pandemic." Annals of Management and Organization Research 4, no. 3 (2023): 175–91. http://dx.doi.org/10.35912/amor.v4i3.1621.

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Purpose: This study aims to identify the phenomenon of overreaction in Islamic stocks during the COVID-19 pandemic and understand how various pieces of information during the pandemic influenced investors to overreact, leading to market inefficiency. Research Methodology: This study employs two main methods: an event study focusing on the overreaction phenomenon in the Islamic stock market, and cross-sectional regression to analyze the factors that influence it. Results: Overreaction was observed in the winner's stock portfolio during the announcement of Indonesia's first COVID-19 case. Howeve

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Ejaz, Abdullah, and Petr Polak. "Short-Term Momentum Effect: a Case of Middle East Stock Markets." Business: Theory and Practice 16, no. (1) (2015): 104–12. https://doi.org/10.3846/btp.2015.438.

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The objective of this paper is to find short-term momentum effect in stock markets of the Middle East and to examine whether short-term momentum profits can be explained by risk-based CAPM model. Seven major stock markets from the Middle East were selected. Short-term momentum effect was found in all seven stock markets and CAPM does not adequately explain the short-term momentum profits but momentum portfolio returns are statistically significant. This paper is first attempt to bring major stock markets of the Middle East together and examine them for the short term momentum effect phenomenon

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Maheshwari, Supriya, and Raj Singh Dhankar. "Momentum anomaly: evidence from the Indian stock market." Journal of Advances in Management Research 14, no. 1 (2017): 3–22. http://dx.doi.org/10.1108/jamr-11-2015-0081.

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Purpose The purpose of this paper is to provide insights into the profitability of momentum strategies in the Indian stock market. This study further evaluates whether the momentum effect is a manifestation of size, value or an illiquidity effect. Design/methodology/approach Monthly stock return data of 470 BSE listed stocks over the sample period from January 1997 to March 2013 were used to create extreme portfolios (winner and loser). The returns of extreme portfolios were evaluated using t-statistics and a risk-adjusted measure. Further checks were imposed by controlling for other potential

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Kantarelis, Demetri. "Impact of Correlation on Risky Portfolio Choice, Diversification, and Performance." Advances in Social Sciences Research Journal 12, no. 01 (2025): 114–23. https://doi.org/10.14738/assrj.1201.18173.

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Using Modern Portfolio Theory, applied on risky (stock) portfolios with real price data, it is shown that lower average portfolio correlation enables the investor to improve diversification and, consequently, experience lower portfolio risk as well as reach higher wealth indifference curves. Based on low and high correlation risky investments, results are calculated for Equally Weighted, Minimum Risk, Maximum Expected Return, and Maximum Sharpe Ratio portfolios. Long position performance is measured in terms of Expected Portfolio Return, Portfolio Standard Deviation, and Sharpe Ratio and, with

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Willim, Andre Prasetya. "Analisis Komparatif Tingkat Pengembalian Value Stocks dan Growth Stocks di Bursa Efek Indonesia." Jurnal Pasar Modal dan Bisnis 1, no. 1 (2019): 13–22. http://dx.doi.org/10.37194/jpmb.v1i1.8.

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Purpose- This study aims to examine the difference in returns between portfolio value stocks and growth stocks with comparative analysis. Methods- The population of this research is all companies in the Indonesia Stock Exchange. Based on the results of the purposive sampling method, there were 396 companies that were sampled in this study with IPO criteria before 2011. There were four portfolios formed, namely small growth, small value, big growth and big value portfolios, each consisting of 59 companies. Portfolio performance in this study was measured by the Sharpe, Treynor and Jensen

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Kumar, Ronald Ravinesh, and Peter Josef Stauvermann. "Portfolios under Different Methods and Scenarios: A Case of Fiji’s South Pacific Stock Exchange." Journal of Risk and Financial Management 15, no. 12 (2022): 549. http://dx.doi.org/10.3390/jrfm15120549.

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In this study, we analyze portfolio performance under different methods and scenarios for the small island economy of Fiji. In addition to documenting the historical performance and the smallness of the stock market, the study looks at the possibility of opting for an equally weighted (naïve) portfolio against market and minimum variance portfolios. To this end, we extract monthly stock price data of 17/19 listed companies from August 2019 to July 2022 and invoke different approaches to develop portfolios under different scenarios. We consider the mean-variance, minimum variance, semi-variance

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Silva Junior, Antonio Francisco de Almeida da, Rafael Sidrim Lôpo, and Pedro Henrique Lofiego. "ESG integration strategy with a multivariate normal distribution." Revista de Administração da UFSM 17, no. 3 (2024): e2. http://dx.doi.org/10.5902/1983465985183.

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Purpose: The paper aims to present a new framework for ESG integration strategies in portfolio optimization problems. The optimization in the new structure focuses on the portfolio level, and the procedure is not focused on utility functions or on preliminary weights applied to the asset level. It applies the resampling technique, and all the portfolios are optimal portfolios in the mean-variance space. It uses a filtering process where only optimal portfolios with lower ESG risks are considered. Therefore, this technique works only with optimized portfolios, avoids concentration bias, and con

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Eilert, Meike, and Stefanie Robinson. "The Impact of Cause Portfolio Focus and Contribution Amount on Stakeholder Evaluations." Business & Society 59, no. 7 (2018): 1483–514. http://dx.doi.org/10.1177/0007650318761858.

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When companies engage in corporate philanthropy, they can donate to a number of causes supporting a variety of issues, thus establishing cause portfolios. This research examines how the focus of a cause portfolio affects company evaluations. Results from an experiment show that when a company donates a small amount of money, consumers have lower evaluations of a company when the cause portfolio is focused (i.e., supports one issue) versus diverse (i.e., supports many issues). This is because the focused (vs. diverse) portfolio is perceived to have a weaker impact to society. We provide additio

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Rubesam, Alexandre, and André Lomonaco Beltrame. "Carteiras de Variância Mínima no Brasil." Brazilian Review of Finance 11, no. 1 (2013): 81. http://dx.doi.org/10.12660/rbfin.v11n1.2013.5830.

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We investigate minimum variance portfolios in the Brazilian equity market using different methods to estimate the covariance matrix, from the simple model of using the sample covariance to multivariate GARCH models. We compare the performance of the minimum variance portfolios to those of the following benchmarks: (i) the IBOVESPA equity index, (ii) an equally-weighted portfolio, (iii) the maximum Sharpe ratio portfolio and (iv) the maximum growth portfolio. Our results show that the minimum variance portfolio has higher returns with lower risk compared to the benchmarks. We also consider long

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Kumar, Ronald Ravinesh, Peter Josef Stauvermann, and Aristeidis Samitas. "An Application of Portfolio Mean-Variance and Semi-Variance Optimization Techniques: A Case of Fiji." Journal of Risk and Financial Management 15, no. 5 (2022): 190. http://dx.doi.org/10.3390/jrfm15050190.

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In this paper, we apply the Markowitz portfolio optimization technique based on mean-variance and semi-variance as measures of risk on stocks listed on the South Pacific Stock Exchange, Fiji. We document key market characteristics and consider monthly returns data from SEP-2019 to FEB-2022 (T = 30) of 17/19 listed companies on the stock exchange to construct various portfolios like 1/N (naïve), maximum return, and market and minimum-variance with and without short-selling constraints. Additionally, we compute each stock’s beta using the market capitalization-weighted stock price index data. We

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Živkov, Dejan, Boris Kuzman, and Jonel Subić. "How to hedge extreme risk of natural gas in multivariate semiparametric value-at-risk portfolio?" E+M Ekonomie a Management 26, no. 3 (2023): 128–44. http://dx.doi.org/10.15240/tul/001/2023-3-008.

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The COVID-19 pandemic and the war in Ukraine have caused huge price changes in the natural gas market. This paper tries to minimise the extreme risk of natural gas, making two sixasset portfolios, where gas is combined with five developed and emerging European stock indices. We observe extreme risk from the aspect of classical parametric Value-at-Risk measure, but we also propose a new approach and optimise portfolios with semiparametric VaR as a target. Estimating the equicorrelation of the two portfolios, we determine that the emerging indices portfolio has a much lower level of integration,

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Suryawati, Baiq Nurul, Laila Wardani, Muttaqillah Muttaqillah, and Iwan Kusmayadi. "OPTIMIZING PORTFOLIO RETURN WITH NAÏVE DIVERSIFICATION-BASED MODELLING." JMM UNRAM - MASTER OF MANAGEMENT JOURNAL 10, no. 1 (2021): 15. http://dx.doi.org/10.29303/jmm.v10i1.646.

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This study aims at applying naïve diversification-based modeling in formation of optimal portfolios and to test the superiority of these portfolios against its sectoral indexes. The population of this study are all companies listed on the Indonesia Stock Exchange which are grouped into 10 sectors, namely: Agriculture; Basic Industry; Consumer; Finance; Infrastructure; Manufacture; Mining; Miscelanous Industry; Property; and Trade. The sample of this company is Top 10 Constituents in each company sector listed in the fact sheet per sector, published by the Indonesia Stock Exchange. The analytic

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Aliu, Florin, Artor Nuhiu, Adriana Knapkova, Ermal Lubishtani, and Khang Tran. "Do Cryptocurrencies Offer Diversification Benefits for Equity Portfolios?" Studies in Business and Economics 16, no. 2 (2021): 5–18. http://dx.doi.org/10.2478/sbe-2021-0021.

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Abstract Cryptocurrencies are becoming an exciting topic for legislative bodies, practitioners, media, and scholars with diverse academic backgrounds. The work identifies diversification benefits when cryptocurrencies are combined with the equity instruments from Visegrad Stock Exchanges. Furthermore, the results of the study explore financial and economic benefits for the investors of combining cryptocurrencies with equity stocks on the mixed portfolio. Three different independent experiments were conducted to observe diversification benefits generated from cryptocurrencies. Results from the

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Ji, Xinyue. "Comparison of Portfolio Optimizations under Markowitz Model in Technology Sector and Financial Services Sector." Highlights in Business, Economics and Management 24 (January 22, 2024): 1194–202. http://dx.doi.org/10.54097/32f00f69.

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In the period of Covid-19, different sectors received different levels of shocks, which gave investors a degree of caution when investing in various sectors. Therefore, portfolio optimization - using specific model to assign weights of stocks to achieve a higher return while reducing risk – becomes a popular strategy. This paper chooses the Markowitz model to find optimal sector-based portfolios, specifically in technology sector and financial services sector, as well as portfolios that contains stocks in both sectors. The study uses Python to do Monte Carlo simulation, finding two optimal por

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Santos, André Alves Portela, and Cristina Tessari. "Técnicas Quantitativas de Otimização de Carteiras Aplicadas ao Mercado de Ações Brasileiro." Brazilian Review of Finance 10, no. 3 (2012): 369. http://dx.doi.org/10.12660/rbfin.v10n3.2012.3865.

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In this paper we assess the out-of-sample performance of two alternative quantitative portfolio optimization techniques - mean-variance and minimum variance optimization – and compare their performance with respect to a naive 1/N (or equally-weighted) portfolio and also to the market portfolio given by the Ibovespa. We focus on short selling-constrained portfolios and consider alternative estimators for the covariance matrices: sample covariance matrix, RiskMetrics, and three covariance estimators proposed by Ledoit and Wolf (2003), Ledoit and Wolf (2004a) and Ledoit and Wolf (2004b). Taking i

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Nur Safitri, Indah Nur, Sudradjat Sudradjat, and Eman Lesmana. "STOCK PORTFOLIO ANALYSIS USING MARKOWITZ MODEL." International Journal of Quantitative Research and Modeling 1, no. 1 (2020): 47–58. http://dx.doi.org/10.46336/ijqrm.v1i1.6.

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A common problem that often occurs in investment is the selection of the optimal portfolio according to the wishes of investors. This thesis ueds the Markowitz Model as a basis to formed a model to choose the optimal portfolio that provided the lowest risk. Efforts to minimize risk were carried out by conducting a diversification strategy. After the selection of several companies with the criteria of capitalization value and DER (Debt Equity Ratio), a combination of stocks is formed to form a portfolio. The formed portfolio was then analyzed to determine the optimal proportion of each stock. U

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Bulani, Vivek, Marija Bezbradica, and Martin Crane. "Improving Portfolio Management Using Clustering and Particle Swarm Optimisation." Mathematics 13, no. 10 (2025): 1623. https://doi.org/10.3390/math13101623.

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Portfolio management, a critical application of financial market analysis, involves optimising asset allocation to maximise returns while minimising risk. This paper addresses the notable research gap in analysing historical financial data for portfolio optimisation purposes. Particularly, this research examines different approaches for handling missing values and volatility, while examining their effects on optimal portfolios. For this portfolio optimisation task, this study employs a metaheuristic approach through the Swarm Intelligence algorithm, particularly Particle Swarm Optimisation and

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Nurhakim, Eko Sanjaya, Abdul Mukti Soma, and Irni Yunita. "Constructing Optimal Portfolios Using the Single Index Model and Markowitz Model: A Study on Cryptocurrencies." Journal of Accounting and Strategic Finance 7, no. 2 (2024): 200–218. https://doi.org/10.33005/jasf.v7i2.485.

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This study analyzes the formation of optimal portfolios on cryptocurrency assets using the single index model and the Harry Markowitz model. This study covers 79 cryptocurrencies with the largest market capitalization during the period June 2023–June 2024. We calculate the optimal portfolio using the single index model and Markowitz, and evaluate its performance using the Sharpe Ratio. The results show that the Harry Markowitz model produces better portfolio performance compared to the single index model. The Markowitz portfolio produces a positive Sharpe ratio (1.8496), a portfolio return rat

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Jayeola, Dare, and Peter O. Olatunji. "Optimizing Portfolio Risk through Diversification: Application of The Black-Litterman Model." Journal of Economics, Management and Trade 31, no. 4 (2025): 13–19. https://doi.org/10.9734/jemt/2025/v31i41280.

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Aim: The study investigates how the risk reduction strength of different assets and their impact on minimizing portfolio risk. It seeks to recommend an optimal investment strategy using the Black-Litterman model to balance risk and return, helping investors make informed decisions to enhance portfolio stability and financial resilience. Study Design: We adopt a quantitative approach, by employing the Black-Litterman model to analyze portfolio risk reduction. Monthly financial data from 2018 to 2022 is used to evaluate the impact of asset allocation on risk minimization, focusing on assessing v

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Alghifari, Erik, Bayu Setia, Nugraha Nugraha, and Maya Sari. "MASIH RELEVANKAH TEORI PORTOFOLIO MODERN?" Jurnal Ilmiah Ekonomi Dan Bisnis 20, no. 1 (2023): 1–8. http://dx.doi.org/10.31849/jieb.v20i1.8536.

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There have been many criticisms of modern portfolio theory. The framework of modern portfolio theory is static, modern portfolio theory assumes that assets are normally distributed. But in times of financial crisis or pandemic, asset class correlations increase, and assets lose value more than normal distributions would expect. This study empirically whether it is possible to apply modern portfolio theory using additional criteria. The criteria proposed are based on financial ratio analysis, using debt ratios expressed as debt to equity and profitability ratios expressed as return on assets. B

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