INVESTMENT HORIZON EFFECT ON ASSET ALLOCATION BETWEEN VALUE AND GROWTH STRATEGIES IN TEHRAN STOCK EXCHANGE BY WAVELET ANALYSIS

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VAKILIFARD HAMIDREZA; SHIRAZIAN ZAHRA

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Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2015 | Volume:5 | Issue:21 Page(s): 131-148

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Title

INVESTMENT HORIZON EFFECT ON ASSET ALLOCATION BETWEEN VALUE AND GROWTH STRATEGIES IN TEHRAN STOCK EXCHANGE BY WAVELET ANALYSIS

Author(s)

VAKILIFARD HAMIDREZA | SHIRAZIAN ZAHRA | Issue Writer Certificate

Keywords

INVESTMENT HORIZONQ2

TEHRAN STOCK EXCHANGEQ2

Abstract

How does the optimal risk of assets change as their INVESTMENT HORIZONs increase? Does this impact investment portfolio decision making, in particular, optimal asset allocation between value and growth strategies over various INVESTMENT HORIZONs? This paper adopts a new approach to address these questionsby examining portfolio allocation between value and growth stocks over various INVESTMENT HORIZONs. This new approach is based on wavelet analysis, which decomposes the returns of a particular investment strategy across multiple INVESTMENT HORIZONs.In this paper, we used month returns of 10 years of Total Index stock exchange of Tehran and portfolio of investment componies accepted in stock exchange. The stocks divided to growth and value stock. Value stocks include BV/MV more than 30 percent and growth stocks include BV/MV less than 30 percent. The results using investment companies portfolios show that as the INVESTMENT HORIZON increases, the optimal mean allocation of investors heavily away from growth stocks, particulary for lower and moderate levels of risk aversion. Interestingly for The Total Index stock exchange of Tehran the allocation weights between value and growth do not vary much.

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مقایسه بازدهی سهام رشدی با سهام ارزشی در بورس اوراق بهادار تهران

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APA: Copy

VAKILIFARD, HAMIDREZA, & SHIRAZIAN, ZAHRA. (2015). INVESTMENT HORIZON EFFECT ON ASSET ALLOCATION BETWEEN VALUE AND GROWTH STRATEGIES IN TEHRAN STOCK EXCHANGE BY WAVELET ANALYSIS. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 5(21), 131-148. SID. https://sid.ir/paper/197685/en

Vancouver: Copy

VAKILIFARD HAMIDREZA, SHIRAZIAN ZAHRA. INVESTMENT HORIZON EFFECT ON ASSET ALLOCATION BETWEEN VALUE AND GROWTH STRATEGIES IN TEHRAN STOCK EXCHANGE BY WAVELET ANALYSIS. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2015;5(21):131-148. Available from: https://sid.ir/paper/197685/en

IEEE: Copy

HAMIDREZA VAKILIFARD, and ZAHRA SHIRAZIAN, “INVESTMENT HORIZON EFFECT ON ASSET ALLOCATION BETWEEN VALUE AND GROWTH STRATEGIES IN TEHRAN STOCK EXCHANGE BY WAVELET ANALYSIS,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 5, no. 21, pp. 131–148, 2015, [Online]. Available: https://sid.ir/paper/197685/en

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