|
Study of Productivity Contrarian Investment Strategy for Acquiring Efficiency in Tehran Stock Exchange
|
| |
|
|
|
Abstract: (10543 Views) |
| In capital markets and behavioral finance literature, according to the different reaction of investors and in order to increase the efficiency of capital and achieving returns in excess of the expected return, different investment strategies are presented and recommended. One of these strategies is, contrarian investment strategy, which is based on the investors’ overreaction hypothesis. Knowing how to use a contrarian investment strategy can help Investors in choosing the right stocks in order to achieve maximum efficiency. The research sample consists of 152 listed companies in Tehran Stock Exchange for a period of 2003 – 2011. In this study first, the research period is divided into 16 intervals to form Portfolios then companies divided to two portfolios of winners and losers, based on 8 variables such as return on assets, return on equity, sales return, operating profit, operating cash flows, stock return and EPS. In test period, the winner and loser portfolio efficiency was calculated and compared. The results of testing the research hypotheses show that by using contrarian investment strategy additional efficiency can be gained in Tehran Stock Exchange. Also investors in different periods of establishment and testing, show overreaction towards certain variables. |
|
| Keywords: Contrarian Investment Strategy, winner and loser portfolios, establishment and testing period, Overreaction |
|
|
Full-Text [PDF 735 kb]
(2183 Downloads)
|
|
Type of Study: Applicable |
Subject:
Special
|
|
|
|
|
|
|
| Add your comments about this article |
|
|
|
