Contrarian Investment Strategy: a Superior Active portfolio approach

محمد فائز حسن; علي احمد فارس; ندى عبدالخضير عبد الستار

المؤلفون

محمد فائز حسن
علي احمد فارس
ندى عبدالخضير عبد الستار

الكلمات المفتاحية:

contrarian، overreaction,، under-reaction، Winner، Loser، Portfolio

الملخص

من بين استراتيجيات الاستثمار المعروفة، تحاول هذه الدراسة اختبار صلاحية بناء محفظة نشطة مبنية على استراتيجية الاستثمار المعاكسة . و لتحقيق هذا الهدف ، استخدمنا عينة مكونة من أسعار إغلاق الأسهم الشهرية لـ 37 شركة مدرجة في سوق العراق للأوراق المالية (ISX) ، والتي شملت نتائج أسعار الاغلاق للفترة من يناير 2005 إلى يناير 2015. تضمن أسلوب الدراسة العمل على تشكيل محفظة نشطة تتفوق في الأداء على محفظة مؤشر السوق وفقًا للتوقعات العامة لأداء السوق و باستخدام 49 استراتيجية مختلطة لفترات الترتيب و الاحتفاظ . بالمقابل يقوم مبدأ بناء المحفظة النشطة المعاكسة على شراء الأسهم الخاسرة في الفترة السابقة وبيع مثيلاتها من الرابحة لنفس الفترة ، وتكرر هذه الآلية بشكل شهري لتوليد عائد يسمى العائد المعاكس و من ثم يتم اختبار العائد الناتج وفقًا للمعنوية الإحصائية والاقتصادية على حد سواء. و كان الاستنتاج الرئيسي للدراسة هو أن العوائد المعاكس يظهر معنوية واضحة على المدى القصير بالنسبة لسوق العراق للأوراق المالية.

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