Explain the moderating role of the investment horizon on excess returns from Implementation of the Momentum& Contrarian strategy changing in stock price volatilities

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Sadeghi lafmejani Mohammad ali; RAMEZANI JAVAD; KHALILPOUR MEHDI

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Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2020 | Volume:11 | Issue:44 Page(s): 114-132

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Title

Explain the moderating role of the investment horizon on excess returns from Implementation of the Momentum& Contrarian strategy changing in stock price volatilities

Author(s)

Sadeghi lafmejani Mohammad ali | RAMEZANI JAVAD | KHALILPOUR MEHDI | Issue Writer Certificate

Keywords

stock price volatilitiesQ1

investment horizonsQ2

Momentum& Contrarian StrategyQ1

Abstract

Momentum& Contrarian trading strategies used to exploit the serial correlations of market yields and securities fall under financial exceptions and capital market irregularities. In this strategy, incremental returns can be achieved by buying past winning stocks and selling past losing stocks. Accordingly, the purpose of this study was to explain the moderating role of the investment horizon on the additional returns resulting from the use of accelerated-reverse strategies in Tehran Stock Exchange price Explain the moderating role of the investment horizon on excess returns from Implementation of the Momentum& Contrarian Strategy changing in stock price volatilities. The hypothesis testing in the present study was performed using multivariate linear regression model and econometric modeling. In examining the moderating effect of investment horizons on the above relationship, it was also found that despite the unexpected effect of the surplus resulting from the change in strategy on the stock price fluctuations, the investment horizon parameter on the additional return relationship derived from the use of strategies Momentum& Contrarian of stock price fluctuations have no significant effect.

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APA: Copy

Sadeghi lafmejani, Mohammad ali, RAMEZANI, JAVAD, & KHALILPOUR, MEHDI. (2020). Explain the moderating role of the investment horizon on excess returns from Implementation of the Momentum& Contrarian strategy changing in stock price volatilities. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 11(44 ), 114-132. SID. https://sid.ir/paper/370340/en

Vancouver: Copy

Sadeghi lafmejani Mohammad ali, RAMEZANI JAVAD, KHALILPOUR MEHDI. Explain the moderating role of the investment horizon on excess returns from Implementation of the Momentum& Contrarian strategy changing in stock price volatilities. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2020;11(44 ):114-132. Available from: https://sid.ir/paper/370340/en

IEEE: Copy

Mohammad ali Sadeghi lafmejani, JAVAD RAMEZANI, and MEHDI KHALILPOUR, “Explain the moderating role of the investment horizon on excess returns from Implementation of the Momentum& Contrarian strategy changing in stock price volatilities,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 11, no. 44 , pp. 114–132, 2020, [Online]. Available: https://sid.ir/paper/370340/en

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