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Artykuły w czasopismach na temat „Winner portfolios”

Autor: Grafiati

Data publikacji: 3 czerwca 2025

Data aktualizacji: 31 lipca 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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Langenstein, Laura, Martin Užík, and Roman Warias. "Winner Strategies in Crisis." SHS Web of Conferences 92 (2021): 03015. http://dx.doi.org/10.1051/shsconf/20219203015.

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Research background: Since the publication of Markowitz’ Portfolio Selection Theory, researchers and practitioners have been searching for the optimal structure of investment portfolios. An unlimited number of portfolio-based investment strategies have been created since 1952. However, none of these strategies seem to continuously generate overperformance over a long time period. This may also be due to the strong dynamics of economic development and other external factors. Purpose of the article: The aim of this article is to analyze which strategies are successful in generating winning portf

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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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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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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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6

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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7

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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8

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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9

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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10

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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11

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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12

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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13

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

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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15

Peswani, Shilpa, and Mayank Joshipura. "The volatility effect across size buckets: evidence from the Indian stock market." Investment Management and Financial Innovations 16, no. 3 (2019): 62–75. http://dx.doi.org/10.21511/imfi.16(3).2019.07.

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The portfolio of low-volatility stocks earns high risk-adjusted returns over a full market cycle. The annual alpha spread of low versus high-volatility quintile portfolios is 25.53% in the Indian equity market for the period from January 2000 to September 2018. The low-volatility (LV) effect is not an overlap of other established factors such as size, value or momentum. The effect persists across various size buckets (market capitalization). The performance of the low-volatility effect within various size buckets is analyzed using three different portfolio formation methods. Irrespective of th

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16

Cenamor, Isabel, Tomás De la Rosa, and Fernando Fernández. "The IBaCoP Planning System: Instance-Based Configured Portfolios." Journal of Artificial Intelligence Research 56 (August 31, 2016): 657–91. http://dx.doi.org/10.1613/jair.5080.

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Sequential planning portfolios are very powerful in exploiting the complementary strength of different automated planners. The main challenge of a portfolio planner is to define which base planners to run, to assign the running time for each planner and to decide in what order they should be carried out to optimize a planning metric. Portfolio configurations are usually derived empirically from training benchmarks and remain fixed for an evaluation phase. In this work, we create a per-instance configurable portfolio, which is able to adapt itself to every planning task. The proposed system pre

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17

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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18

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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19

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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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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Seipp, Jendrik, Manuel Braun, Johannes Garimort, and Malte Helmert. "Learning Portfolios of Automatically Tuned Planners." Proceedings of the International Conference on Automated Planning and Scheduling 22 (May 14, 2012): 368–72. http://dx.doi.org/10.1609/icaps.v22i1.13538.

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Portfolio planners and parameter tuning are two ideas that have recently attracted significant attention in the domain-independent planning community. We combine these two ideas and present a portfolio planner that runs automatically configured planners. We let the automatic parameter tuning framework ParamILS find fast configurations of the Fast Downward planning system for a number of planning domains. Afterwards we learn a portfolio of those planner configurations. Evaluation of our portfolio planner on the IPC 2011 domains shows that it has a significantly higher IPC score than the winner

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Corazza, Marco, and Carla Nardelli. "Possibilistic mean–variance portfolios versus probabilistic ones: the winner is..." Decisions in Economics and Finance 42, no. 1 (2019): 51–75. http://dx.doi.org/10.1007/s10203-019-00234-1.

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Hoang, Trang, and Anh Tuan Nguyen. "Navigating the Public Pension Landscape: An Examination of Asset Allocations." Public Finance and Management 22, no. 1 (2023): 1–34. http://dx.doi.org/10.37808/pfm.22.1.1.

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The volatility of financial markets has highlighted the sensitivity of pension funding to pension investment management and the risk exposure of pension investment portfolios. In this study, we examine the asset allocations of U.S state and local governments defined-benefit plans to gain a better understanding on how those public pension plans manage their portfolio's risks. Using the data from over 90 public pension plans from 2007 to 2018, we found that pension plans that have a higher percentage of ex-official trustees, a higher average investment return, and a higher percentage pension con

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Ajadi, Adedeji. "Profitability of momentum investing strategies in an emerging market." Business Performance Review 1, no. 1 (2023): 31–40. http://dx.doi.org/10.22495/bprv1i1p3.

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This paper examines the profitability of momentum strategies on the Nigerian stock market over a 20-year period, from 1996 to 2016, using all listed equities on the Nigeria Exchange Limited (NGX) All Share Index. It also evaluates whether or not the profitability of momentum strategies is conditional upon the state of the market. A momentum strategy creates and buys a portfolio of past winners and short-sells a portfolio of past losers to generate excess profit. Our result shows that the Nigerian stock market exhibits medium-term price momentum, with eight out of sixteen strategies recording s

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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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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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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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Peswani, Shilpa Girish. "Returns to Low Risk Investment Strategy." Applied Finance Letters 6, no. 01 (2017): 2–15. http://dx.doi.org/10.24135/afl.v6i01.65.

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The paper studies the low risk anomaly in the Indian market using entire National Stock Exchange (NSE) as sample from January 2001 to June 2016. It provides evidence that low risk portfolio sorted for total risk, systematic risk as well as unsystematic risk individually for the large cap, mid cap, small cap and the entire NSE universe give higher returns to the investor as compared to high risk portfolio. The difference of returns from low risk portfolio versus high risk portfolio is positive as well as economically and statistically significant for all the risk measures. The results also prov

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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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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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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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Rostagno, Luciano Martin, Gilberto De Oliveira Kloeckner, and João Luiz Becker. "Previsibilidade de Retorno das Ações na Bovespa: Um Teste Envolvendo o Modelo de Fator de Retorno Esperado." Brazilian Review of Finance 2, no. 2 (2004): 183. http://dx.doi.org/10.12660/rbfin.v2n2.2004.1141.

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This paper examines the hypothesis of asst return predictability in the Brazilian Stock Market (Bovespa). Evidence suggests that seven factors explain most of the monthly differential returns of the stocks included in the sample. Within the factors that present statistically significant mean, two are liquidity factors (market capitalization and trading volume trend), three refer to price level of stocks (dividend to price, dividend to price trend, and cash flow to price), and two relate to price history of stocks (3 and 12 months excess return). Contradicting theoretical assumptions, risk fact

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Rostagno, Luciano Martin, Karina Talamini Costa Soares, and Rodrigo Oliveira Soares. "The Fundamental Profile of Winner and Looser Portfolios at Bovespa Between 1995 and 2002." Brazilian Business Review 5, no. 3 (2008): 258–74. http://dx.doi.org/10.15728/bbr.2008.5.3.7.

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Bonomo, Marco, and Ivana Dall'Agnol. "Retornos anormais e estratégias contrárias." Brazilian Review of Finance 1, no. 2 (2003): 165. http://dx.doi.org/10.12660/rbfin.v1n2.2003.1128.

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We test the hypothesis that strategies which are long on portfolios of looser stocks and short on portfolios of winner stocks generate abnormal returns in Brazil. This type of evidence for the US stock market was interpreted by The Bondt and Thaler (1985) as reflecting systematic evaluation mistakes caused by investors overreaction to news related to the firm performance. We found evidence of contrarian strategies profitability for horizons from 3 months to 3 years in a sample of stock returns from BOVESPA and SOMA from 1986 to 2000. The strategies are more profitable for shorter horizons. The

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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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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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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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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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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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Bushee, Brian J., Theodore H. Goodman, and Shyam V. Sunder. "Financial Reporting Quality, Investment Horizon, and Institutional Investor Trading Strategies." Accounting Review 94, no. 3 (2018): 87–112. http://dx.doi.org/10.2308/accr-52202.

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ABSTRACT This paper provides evidence that financial reporting quality (FRQ) influences the holding costs of trading strategies. While prior research has focused on the benefits of investment strategies based on poor FRQ (i.e., larger returns due to a greater amount of private information), we examine whether poor FRQ imposes greater holding costs on certain trading strategies. We show that poor FRQ motivates sophisticated investors with short-term horizons to tilt their portfolios away from value stocks, whose returns are contingent on investors revising their beliefs about firm fundamental v

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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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Pandey, Asheesh, Sanjay Sehgal, Amiya Kumar Mohapatra, and Pradeepta Kumar Samanta. "Equity market anomalies in major European economies." Investment Management and Financial Innovations 18, no. 2 (2021): 245–60. http://dx.doi.org/10.21511/imfi.18(2).2021.20.

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This paper investigates five leading equity market anomalies – size, value, momentum, profitability, and asset growth, for four Western European markets, namely, Germany, France, Italy and Spain, from January 2002 to March 2018. The study tests whether these anomalies reverse under different macro-economic uncertainty conditions, and evaluates if strategies based on time diversification can be formed using these equity market anomalies. Market anomalies were tested using four major asset pricing models – the Capital Asset Pricing Model, the Fama-French three-factor model, the Carhart model, an

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Sembiring, Ferikawita M. "How Well is the Implementation of CAPM in Condition of Market Anomaly? Case in Market Overreaction Anomaly at Indonesia Stock Exchange." INFLUENCE: International Journal of Science Review 4, no. 1 (2022): 166–78. http://dx.doi.org/10.54783/influencejournal.v4i1.14.

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This study aims to test the occured of the market anomaly, iemarket overreactions in Indonesian stock market at the Covid-19 pandemic. If the event occurs then be tested whether a contrarian investment strategy is relevant to be implemented. It will also be tested whether the CAPM's market risk factor will affect the returns. The data from the Indonesia Stock Exchange (IDX) used are the stock price in periods of January 2019-December 2020, which during the pandemic were have the potential to be profitable or detrimental. Through the formation of the portfolios that called as as the winner and

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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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Jurevičienė, Daiva, and Agnė Jakavonytė. "Alternative Investments: Valuation of Wine as a Means for Portfolio Diversification." Business: Theory and Practice 16, no. (1) (2015): 84–93. https://doi.org/10.3846/btp.2015.606.

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This article analyses wine as an alternative investment tool and its relevance for investment portfolio diversification. Advantages and disadvantages of alternatives, benefits and weakness and peculiarities of investing in wine are systemised. In addition, the article looks at statistical data analysis of fine wine market and compares wine with other investment tools. The examination is based on three investment instruments: US equities (using S&P 500 index), bonds (using US 20-Year treasury constant maturity rate/DGS20) and wine (based on Fine Wine Investable index) using 1993–2012 (end o

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Koutsokostas, Drosos, Spyros Papathanasiou, and Dimitris Balios. "Adjusting for risk factors in mutual fund performance and performance persistence." Journal of Risk Finance 20, no. 4 (2019): 352–69. http://dx.doi.org/10.1108/jrf-07-2018-0108.

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Purpose The purpose of this paper is to examine the performance of Greek equity mutual funds and the persistence in annual performance for the period 2008-2017 by using a variety of performance models. Design/methodology/approach Using all the available funds in operation and daily data, the authors apply single-index (Jensen, 1968) and multi-factor models (Fama and French, 1993; Carhart, 1997) to measure risk-adjusted returns. To assess performance persistence, a series of parametric (Bollen and Busse, 2005) and nonparametric tests (Malkiel, 1995; Brown and Goetzmann, 1995; Kahn and Rudd, 199

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Curcuru, Stephanie E., Charles P. Thomas, Francis E. Warnock, and Jon Wongswan. "US International Equity Investment and Past and Prospective Returns." American Economic Review 101, no. 7 (2011): 3440–55. http://dx.doi.org/10.1257/aer.101.7.3440.

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Counter to extant stylized facts, using newly available data on country allocations in US investors' foreign equity portfolios we find that (i) US investors do not exhibit returns-chasing behavior, but, consistent with partial portfolio rebalancing, tend to sell past winners; and (ii) US investors increase portfolio weights on a country's equity market just prior to its strong performance, behavior inconsistent with an informational disadvantage. Over the past two decades, US investors' foreign equity portfolios outperformed a value-weighted foreign benchmark by 160 basis points per year. JEL:

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Assogbavi, Tov, Martin Giguere, and Komlan Sedzro. "The Impact Of Trading Volume On Portfolios Effective Time Formation/Holding Periods Based On Momentum Investment Strategies." International Business & Economics Research Journal (IBER) 10, no. 7 (2011): 1. http://dx.doi.org/10.19030/iber.v10i7.4662.

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This paper analyzes momentum investment strategies based on past market data to evaluate the impact of trading volume on price momentum for the Canadian Stock Market. Utilizing variant models of Jegadeesh and Titman (1993) and Lee and Swaminathan (2000), we evaluate the effective time formation/holding periods of portfolios using both past price and trading volume. The findings suggest that taking high trading volume into consideration in momentum investment strategies on the TSX between 1996 to 2004 generally outperformed a strictly price-based momentum strategy for both winners (t= 2.118, p&

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