The dominance of the contractum over the momentum and vice versa: Evidence from the Iranian capital market
سال انتشار: 1402
نوع سند: مقاله ژورنالی
زبان: انگلیسی
مشاهده: 97
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شناسه ملی سند علمی:
JR_IJNAA-14-6_007
تاریخ نمایه سازی: 18 شهریور 1402
چکیده مقاله:
This study is aimed at investigating the possibility of combining the ranking period and maintenance period of classical momentum and reverse strategies and evaluating the performance of portfolios resulting from hybrid strategies in comparison with classical strategies. For this purpose, using the information of ۱۲۰ companies listed on the Tehran Stock Exchange in the period ۲۰۱۱ to ۲۰۱۹, the amount of excess return, the explanatory power of excess return by risk factors of the seven-factor model Fama and French and the explanatory power of future return by excess return of each strategy Combined and classical are evaluated and compared. The results show that contraratum (contractionary hybrid strategy), which is ranked as long-term as reverse strategies but maintained in the medium term like momentum strategies, performs better than momentum and reverse strategies. By controlling risk factors (Fama and French seven-factor model), contractionary, reverse and momentum investment strategies in the Iranian capital market are profitable. Finally, the results of the present study support the explanatory power and more predictive power of the excess yield of the contractionary strategy than the classical strategies for future returns. Therefore, the contribution of the present study is to provide evidence of the excess return and performance of the new hybrid strategy are much higher than the classic investment strategies proven in the Iranian capital market.
کلیدواژه ها:
Momentum Strategy ، Reverse Strategy ، Hybrid Strategy ، Surplus Efficiency ، Fama and French Seven-Factor Model
نویسندگان
Seyed Saadat Hosseini
Department of Accounting, Bonab Branch, Islamic Azad University, Bonab, Iran
Nader Rezaei
Department of Accounting, Bonab Branch, Islamic Azad University, Bonab, Iran
Asgar Pakmaram
Department of Accounting, Bonab Branch, Islamic Azad University, Bonab, Iran
Rasoul Abdi
Department of Accounting, Bonab Branch, Islamic Azad University, Bonab, Iran
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