Performance examination of trading strategy based on Stochastic Dominance

Q: How can I download an article?

To download an article from SID, first log in to the site, search for the article title, and click on the 'Download Article' option.

Q: How can I download an ISI article?

To download an ISI article on SID, enter the keyword or article title in the search bar, view the relevant results, click on the desired article, and select the 'Download Article' option.

Q: How can I access the SID database?

To access the SID database, visit SID.ir, create an account, and log in to access scientific resources.

Q: Is downloading articles from SID free?

Some articles on SID are available for free, while others require payment. Details are specified on the article's page.

DAVALLOU MARYAM; Meskini mood Shayan

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

Journal Paper

Paper Information

Journal: FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES) Year:2019 | Volume:12 | Issue:41 Page(s): 171-193

Download Full-Text

Persian Verion

View:

660

Download:

Cites:

Information Journal Paper

Title

Performance examination of trading strategy based on Stochastic Dominance

Author(s)

DAVALLOU MARYAM | Meskini mood Shayan | Issue Writer Certificate

Keywords

Risk Adjusted ReturnQ1

Stochastic DominanceQ1

Trading StrategyQ1

Abstract

The aim of this research is to examine the performance of a Trading Strategy based on Stochastic Dominance in Iran’ s stock market. To achieve this purpose, we used a sample including the daily returns of the stocks listed on Tehran stock exchange, between 2001 and 2015, and exploited the portfolio study approach. In this way, for each month portfolios are constructed based on second and third degree Stochastic Dominance, by buying the dominance stocks and selling the dominated ones. Then the performance of this Trading Strategy is tested with the respect to the obtained alphas from an extended five-factor model. The results show that the arbitrage portfolios based on Stochastic Dominance produce positive, statistically significant, excess returns. In addition, these returns are robust even after being adjusted to risk premiums (Market, Size, Value, Liquidity and Momentum premiums). Consequently, the results support the fact that the Stochastic Dominance factor is engaged in pricing of the Tehran stock exchange. Moreover, it is crucial to notice that the potential price distortions related to infrequent trading have an enormous impact on the results of the study.

Cites

No record.

References

No record.

Cite

APA: Copy

DAVALLOU, MARYAM, & Meskini mood, Shayan. (2019). Performance examination of trading strategy based on Stochastic Dominance. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), 12(41 ), 171-193. SID. https://sid.ir/paper/200175/en

Vancouver: Copy

DAVALLOU MARYAM, Meskini mood Shayan. Performance examination of trading strategy based on Stochastic Dominance. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES)[Internet]. 2019;12(41 ):171-193. Available from: https://sid.ir/paper/200175/en

IEEE: Copy

MARYAM DAVALLOU, and Shayan Meskini mood, “Performance examination of trading strategy based on Stochastic Dominance,” FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), vol. 12, no. 41 , pp. 171–193, 2019, [Online]. Available: https://sid.ir/paper/200175/en

Related Journal Papers