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کاربرد نوع شرط:
- جایگاه : پژوهشی
- مجله: International Journal of Finance and Managerial Accounting
- نوع مقاله: Journal Article
- کلمات کلیدی: Overreaction,Underreaction,Speed of Adjustment Price,Market Efficiently
- چکیده:
- چکیده انگلیسی: In this research, overreaction and underreaction have been studied by assessing profitability and excess returns of investment strategies and evaluating price adjustment speed in short and long terms. The results showed that the momentum investment strategies had higher annual returns in comparison to contrarian strategies in all short and long periods which led to confirmation of underreaction phenomenon and rejection of overreaction. The small size and value portfolios had higher significant returns. The highest current price to 52-week high ratio portfolios had higher returns than the lowest portfolios in short and long term periods, which is an evidence of momentum and underreaction phenomenon in the market. In addition, the speed of investment strategies adjustment to market-wide information was assessed using Dimson Beta regression and some evidences of the underreaction in short term and overreaction in long term were confirmed. The influence of winner and loser portfolio formation and holding months was observed.
- انتشار مقاله: 24-01-1396
- نویسندگان: Mahdi Madanchi Zaj,Hashem Nikoomaram,Ali Saeedi
- مشاهده