TESTING CONTRA TRADE STRATEGY, IN FORMING THE PORTFOLIO IN TEHRAN STOCK EXCHANGE

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ZIAEI BIGDELI M.T.; BAHRAMI K.

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

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Paper Information

Journal: FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES) Year:2013 | Volume:6 | Issue:17 Page(s): 103-119

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Information Journal Paper

Title

TESTING CONTRA TRADE STRATEGY, IN FORMING THE PORTFOLIO IN TEHRAN STOCK EXCHANGE

Author(s)

ZIAEI BIGDELI M.T. | BAHRAMI K. | Issue Writer Certificate

Keywords

AVERAGE CUMULATIVE ABNORMAL RETURNQ3

CONTRA TRADING STRATEGYQ3

EXCESSIVE REACTIONSQ3

WINNER STOCKSQ3

LOSER STOCKQ3

Abstract

The present work examines the CONTRA TRADING STRATEGY in obtaining AVERAGE CUMULATIVE ABNORMAL RETURN (ACAR) in Tehran Stock Exchange. Based on this strategy, the LOSER STOCKs should be purchased while the WINNER STOCKS should be sold out. The strategy is advised because the stock market and the stock holders show EXCESSIVE REACTIONS to financial information published, so that the Winner Stock tends to be priced higher and the LOSER STOCK tends to be priced lower than its real value. One of the reasons for an abnormal stock market is EXCESSIVE REACTIONS shown against financial information published. To test this strategy, winning and losing portfolios were produced for winner and LOSER STOCKs over a four-year and a six-year period. The test was administered on the data obtained from 76 firms listed in Tehran Stock Exchange between 2004 to 2011. The results of the data analysis computing t-student distribution show that investors cannot get an AVERAGE CUMULATIVE ABNORMAL RETURN.

Cites

FUNDAMENTAL INFORMATION IN TECHNICAL TRADING STRATEGIES THROUGH A COMBINATION OF OPERATING CASH FLOW WITH CONTRARIAN AND MOMENTUM

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APA: Copy

ZIAEI BIGDELI, M.T., & BAHRAMI, K.. (2013). TESTING CONTRA TRADE STRATEGY, IN FORMING THE PORTFOLIO IN TEHRAN STOCK EXCHANGE. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), 6(17), 103-119. SID. https://sid.ir/paper/200385/en

Vancouver: Copy

ZIAEI BIGDELI M.T., BAHRAMI K.. TESTING CONTRA TRADE STRATEGY, IN FORMING THE PORTFOLIO IN TEHRAN STOCK EXCHANGE. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES)[Internet]. 2013;6(17):103-119. Available from: https://sid.ir/paper/200385/en

IEEE: Copy

M.T. ZIAEI BIGDELI, and K. BAHRAMI, “TESTING CONTRA TRADE STRATEGY, IN FORMING THE PORTFOLIO IN TEHRAN STOCK EXCHANGE,” FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), vol. 6, no. 17, pp. 103–119, 2013, [Online]. Available: https://sid.ir/paper/200385/en

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