Contrarian Investment Strategy: a Superior Active portfolio approach

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.

المراجع

- Vayanos, D. and Woolley, P. (2013), “An institutional theory of momentum and reversal”, Review of Financial Studies, Vol. 26 No. 5, pp. 1087-1145. (1)

- Griffin, D. and Tversky, A. (1992), “The weighing of evidence and the determinants of confidence”, Cognitive Psychology, Vol. 24 No. 3, pp. 411-435. (2)

- Daniel, K., Hirshleifer, D. and Subrahmanyam, A. (1998), “Investor psychology and security market under- and overreactions”, Journal of Finance, Vol. 53 No. 6, pp. 1839-1885. (3)

- Barberis, N., Shleifer, A. and Vishny, R. (1998), “A model of investor sentiment”, Journal of Financial Economics, Vol. 49 No. 3, pp. 307-343. (4)

- Odean, T. (1998), Are investors reluctant to realize thrir losses?, Journal of Finance 53(5), 1775-1797.

- Anokijn (2001), Analysis of Contrarian Investment Strategies in the UK AlanGregory ,RichardD.F. Harrisand MariaMichou Journal of Business Finance & Accounting, 28(9) & (10), Nov./Dec., 0306-686X (6)

- Baytas, A., & Cakici, N. (1999). Do markets overreact: International evidence. Journal of Banking and Finance, 23, 1121-1144.

- DeBondt, W. F. M. and Thaler, R. H. (1987) Further evidence on investor overreaction and stock market seasonality, Journal of Finance, 42, 557–81.

- Jegadeesh, N. (1990) Evidence of predictable behavior of security returns, Journal of Finance, 45, 881–98.

- Lehman, B. (1990) Fads, martingales and market efficiency, Quarterly Journal of Economics, 35, 401–28.

- Antoniou, A., Galariotis, E. C. and Spyrou, S. I. (2006) Short-term contrarian strategies in the London Stock Exchange: are they profitable? Which factors affect them? Journal of Business Finance and Accounting, 33, 839–67.

- Chan, K. C. (1988) On the contrarian investment strategy, Journal of Business, 61, 147–64

- Ball, R. and Kothari, S. P. (1989) Non-stationary expected returns: implications for tests of markets efficiency and serial correlation in returns, Journal of Financial Economics, 25, 51–74.

- Kahneman, D. and A. Tversky (1982), `Intuitive Prediction: Biases and Corrective Procedures', in D. Kahneman, P. Slovic and A. Tversky (eds.), Judgment under Uncertainty : Heuristics and Biases(Cambridge University Press, Cambridge).

- Contrarian Investment Strategies: The Next Generation. By David Dreman. Simon & Schuster, 1230 Avenue of the Americas, New York, NY 10020, (212) 698-7000. 464.

- Robert J. Shiller; Stanley Fischer; Benjamin M. Friedman Brookings (1984)” Papers on Economic Activity", Vol. 1984, No. 2., pp. 457-510. Stable URL:

- Fama, E., and K. French, (1992), The cross-section of expected stock returns, Journal of Finance 46, 427-466.

- Ball, R., and S. Kothari, 1989, Non-stationary expected returns: Implications for tests of market efficiency and serial correlation of returns, Journal of Financial Economics 25, 51-74.

- Johnathan C. Muna, Geraldo M. Vasconcellosb, Richard Kishb, (1999) ,Tests of the Contrarian Investment Strategy Evidence from the French and German stock markets, International Review of Financial Analysis, 8:3, 215–234

- Davidson, W. (1989). A note on the behavior of security returns: a test of stock market overreaction and efficiency. Journal of Financial Research 12, 245–252.

- Pettengill, G., & Jordan, B. (1990). The overreaction hypothesis, firm size, and stock market seasonality. Journal of Portfolio Management 16, 60–64.

- Vega, J. de la. (1996). Confusion de Confusiones. In Extraordinary Popular Delusions and the Madness of Crowds and Confusion de Confusiones: Tulipmania, the South Sea Bubble and the Madness of Crowds. New York: John Wiley and Sons, Inc.

- Howe, J. (1986). “Evidence on Stock Market Overreaction”. Financial Analysts Journal, July-August, 74-77.

- Dreman, David N. and Eric A. Lufkin. (1997). “Do Contrarian Strategies Work Within Industries”? Journal of Investing, 6(3), 7-29.

- Kryzanowski, L. and H. Zhang, (1992). “The Contrarian Investment Strategy Does Not Work in Canadian Markets”. Journal of Financial and Quantitative Analysis, 27(3), 383-395.

- Patricia M. Dechow, Richard G. Sloan, (1997) , Returns to contrarian investment strategies: Tests of naive expectations hypotheses, Journal of financial Economics 433 27.

- Kristian Bondo Hansen, Contrarian Investment Philosophy in the American Stock Market : On Investment Advice and the Crowd Conundrum, Economy and Society , Vol. 44, No. 4, 2015, p. 616-638.

- Isaac Otchere and Jonathan Chan, (2003), Short-Term Overreaction in the Hong Kong Stock Market: Can a Contrarian Trading Strategy Beat the Market?, The Journal of Behavioral Finance, Vol. 4, No. 3, 157–171.

- Ronald Balvers, Yangru Wu, and Erik Gillland, (2000),Mean Reversion across National Stock Markets and Parametric Contrarian Investment Strategies, The Journal Of Finance, Vol. Lv, No. 2 April.

- Supriya Maheshwari, Raj S Dhankar, (2016) Momentum and Contrarian Profitability: Insights from the Indian Stock Market under Alternative Approaches, Asian Journal of Humanities and Social Sciences (AJHSS) Volume 4, Issue—1, May,.

التنزيلات

منشور

2024-07-08

كيفية الاقتباس

Mohammed Faez Hasan, Ali Ahmed Faris, & Nada Abdulkadir Abdulsatar. (2024). Contrarian Investment Strategy: a Superior Active portfolio approach . المجلة العراقية للعلوم الادارية, 16(66), 240–253. استرجع في من https://mail.journals.uokerbala.edu.iq:8443/index.php/ijas/article/view/2071