Momentum Strategies Based on Reference Points; Evidence from Adjustment and Anchoring Bias

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.

ASADI GHOLAMHOSSEIN; DAVALLOU MARYAM; ESKINI SOBHAN

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

Journal Paper

Paper Information

Journal: JOURNAL OF ASSET MANAGEMENT AND FINANCING Year:2020 | Volume:8 | Issue:1 (28) Page(s): 83-104

Download Full-Text

Persian Verion

View:

204

Download:

Cites:

Information Journal Paper

Title

Momentum Strategies Based on Reference Points; Evidence from Adjustment and Anchoring Bias

Author(s)

ASADI GHOLAMHOSSEIN | DAVALLOU MARYAM | ESKINI SOBHAN | Issue Writer Certificate

Keywords

Momentum StrategyQ1

Adjustment and AnchoringQ1

Reference PointsQ1

and Under ReactionQ1

Abstract

Objective: According to empirical financial studies, a momentum investment strategy can lead to excess returns in the medium term. One of the driving factors of momentum return is Adjustment and Anchoring bias. Investors’ anchor to reference point price and consequent price adjustment drive momentum in price trends. In this research, based on Reference Points price stated by literature, Momentum investment strategies are investigated. Method: Using portfolio study and studying 108 firms listed in Tehran Stock Exchange over the period from 2007 to 2017 (1386-1395 in Solar Hijri-Iranian calendar), the study has been conducted. Results: Results indicate that investors, applying Adjustment and Anchoring bias, select Reference Points based on price extremes up to one year (especially high 26 week price) more than other reference point’ s prices as anchor, generating then momentum return by this adjusted price. Furthermore, the results of the regression analysis revealed that with risk adjustments and applying other control variables, this return is robust and statistically significant.

Cites

No record.

References

No record.

Cite

APA: Copy

ASADI, GHOLAMHOSSEIN, DAVALLOU, MARYAM, & ESKINI, SOBHAN. (2020). Momentum Strategies Based on Reference Points; Evidence from Adjustment and Anchoring Bias. JOURNAL OF ASSET MANAGEMENT AND FINANCING, 8(1 (28) ), 83-104. SID. https://sid.ir/paper/403730/en

Vancouver: Copy

ASADI GHOLAMHOSSEIN, DAVALLOU MARYAM, ESKINI SOBHAN. Momentum Strategies Based on Reference Points; Evidence from Adjustment and Anchoring Bias. JOURNAL OF ASSET MANAGEMENT AND FINANCING[Internet]. 2020;8(1 (28) ):83-104. Available from: https://sid.ir/paper/403730/en

IEEE: Copy

GHOLAMHOSSEIN ASADI, MARYAM DAVALLOU, and SOBHAN ESKINI, “Momentum Strategies Based on Reference Points; Evidence from Adjustment and Anchoring Bias,” JOURNAL OF ASSET MANAGEMENT AND FINANCING, vol. 8, no. 1 (28) , pp. 83–104, 2020, [Online]. Available: https://sid.ir/paper/403730/en

Related Journal Papers

No record.

Related Seminar Papers

No record.

Related Plans

No record.

Recommended Workshops