scholarly journals Contrarian and Momentum Investment Strategies in Pakistan Stock Exchange

2018 ◽  
Vol 57 (3) ◽  
pp. 253-282
Author(s):  
Jalal Shah ◽  
Attaullah Shah
Keyword(s):  
Stock Exchange ◽  
Abnormal Returns ◽  
Relative Strength ◽  
Investment Strategies ◽  
Momentum Strategies ◽  
Cross Sectional ◽  
Momentum Profits ◽  
Cumulative Abnormal Returns ◽  
Lag Effect ◽  
Penny Stocks

This study examines several aspects of the momentum strategies, such as profitability, risk-based explanation, and decomposition of the momentum profits. For this purpose, we use weekly and monthly data of 581 firms listed at the Pakistan Stock Exchange (PSX) for the period 2004-2014. We found the presence of momentum profits over short and long-horizons, while majority of the contrarian profits were observed only in the presence of penny stocks that have share prices of PKR 10 or less. As a robustness check, we computed returns through the weighted relative strength scheme (WRSS) procedure and average cumulative abnormal returns (ACARs). Interestingly, the results reported through WRSS have shown a similar pattern to that obtained through average cumulative abnormal returns (ACARs). Further, to know which factor contributes more to momentum and contrarian profits, we used the model proposed by Lo and MacKinlay (1990). Our findings show that the overreaction effect is the largest contributing factor of contrarian profits in PSX, while cross-sectional risk is the second largest factor and negatively affects the contrarian profits. Moreover, the lead-lag effect contributes positively to the contrarian profits. Similarly, the largest contributing factor for momentum profits is the underreaction effect, whereas cross-sectional risk is the second largest factor that positively affects momentum profits. Unlike contrarian profits, lead-lag effect reduces the momentum profits in the PSX.

scholarly journals Market Volatility and Momentum: Evidence from Pakistani Stock Exchange

2017 ◽  
Vol 4 (1) ◽  
pp. 82 ◽  
Author(s):  
Anila Rafique Khan ◽  
Muhammad Waqas ◽  
Arshad Hassan
Keyword(s):  
Business Cycle ◽  
Stock Exchange ◽  
Statistical Significance ◽  
Market Volatility ◽  
Momentum Strategies ◽  
Cross Sectional ◽  
Momentum Profits ◽  
Market State ◽  
The Business Cycle ◽  
The Impact

This study explores the relationship between market volatility and momentum profitability. This study indicates that market state volatility has significant power to forecast momentum payoffs, especially in negative market states. The results are the context in the presence of market state and business cycle variables. Market premium is significant and negative. Market volatility is also found negatively influencing momentum profits. Volatility is divided into volatility in the positive market and volatility in the negative market. Both are significantly and negatively influencing momentum profits. Vol+ and Vol- both have negative signs; Vol- is dominant in terms of the magnitudes of the coefficient and the t-statistics. Business cycle effect measured by term and yield is not found significant. Non-linearity has not been observed regarding the term. Results are found robust for market adjusted momentum payoff. The study also explores the impact of market state, volatility and business cycles on the return of loser and winner portfolio. This study reports that returns of the loser portfolios are explained by market component, whereas volatility is found to be insignificant. The macroeconomic variables TERM, TERM2 and YLD show signs of statistical significance. Market factor is significantly and positively influencing winner portfolios. The results indicate that volatile markets forecast low returns on winner stocks. Return dispersion used to measures cross-sectional is also found significant. The study recommends that investors should devise investment and momentum strategies on the basis of the volatility of stocks and the business cycle. The tests of this study show that volatile down markets forecast low momentum payoffs. The time-series predictability of momentum is asymmetric, which arises from loser stocks.

scholarly journals Australian Stock Exchange and sub-variants of price momentum strategies

2018 ◽  
Vol 15 (1) ◽  
pp. 224-235
Author(s):  
Abdullah Ejaz ◽  
Petr Polak
Keyword(s):  
Trading Volume ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Investment Strategies ◽  
Momentum Effect ◽  
Short Term ◽  
Momentum Strategies ◽  
Price Momentum ◽  
Return Behavior

The aim of this study is to examine the sub-variants of price momentum strategies. The paper recommends which sub-variants post above average returns for Australian Stock Exchange. It also analyzes the return behavior of short-term momentum effect among sub-variants of price momentum strategies. It has been found that monthly price momentum strategies result in above average abnormal returns, whereas weekly price momentum strategies should be used in combination with monthly price momentum strategies. Trading volume-based momentum investment strategies should not be used at all.

Risk-Managed Momentum: An Evidence from Indian Stock Market

2021 ◽  
pp. 231971452110230
Author(s):  
Simarjeet Singh ◽  
Nidhi Walia ◽  
Pradiptarathi Panda ◽  
Sanjay Gupta
Keyword(s):  
Stock Market ◽  
Asset Management ◽  
Stock Exchange ◽  
Sharpe Ratio ◽  
Relative Momentum ◽  
Extended Time ◽  
Momentum Strategies ◽  
Momentum Profits ◽  
Indian Stock Market ◽  
Time Frames

Relative momentum strategies yield large and substantial profits in the Indian Stock Market. Nevertheless, relative momentum profits are negatively skewed and prone to occasional severe losses. By taking into consideration 450 stocks listed on the Bombay Stock Exchange, the present study predicts the timing of these huge momentum losses and proposes a simple risk-managed momentum approach to avoid these losses. The proposed risk-managed momentum approach not only doubles the adjusted Sharpe ratio but also results in significant improvements in downside risks. In contrast to relative momentum payoffs, risk-managed momentum payoffs remain substantial even in extended time frames. The study’s findings are particularly relevant for asset management companies, fund houses and financial academicians working in the area of asset anomalies.

scholarly journals Presence and Sources of Contrarian Profits in the Bangladesh Stock Market

2018 ◽  
Vol 20 (1) ◽  
pp. 84-104
Author(s):  
Shah Saeed Hassan Chowdhury ◽  
Rashida Sharmin ◽  
M Arifur Rahman
Keyword(s):  
Time Series ◽  
Stock Market ◽  
Stock Returns ◽  
Common Factor ◽  
Relative Strength ◽  
Specific Information ◽  
Cross Sectional ◽  
Market Sentiment ◽  
Holding Period ◽  
Momentum Profits

This article, using weekly data for the period 2002 through 2013, investigates the presence of both contrarian and momentum profits and their sources in the Bangladesh stock market. It follows the methodology of Lo and MacKinlay ( Review of Financial Studies, 1990, 3(2), 175–205) to form portfolios with a weighted relative strength scheme (WRSS). The methodology of Jegadeesh and Titman ( Review of Financial Studies, 1995, 8(4), 973–993) is used to decompose the contrarian/momentum profits into three elements: compensation for cross-sectional risk, lead–lag effect in time series with respect to the common factor and the time-series pattern of stock returns. Results provide the evidence of significant contrarian profits for the holding period of one through eight weeks. There is a stronger presence of contrarian profits during 2002–2008 sub-period. The time-series pattern is found to be the main source of contrarian profits, suggesting that idiosyncratic (firm-specific) information is the main contributor to contrarian profits. Interestingly, the influence of idiosyncratic information on such profits has gradually decreased since 2008. Contrarian profits are robust to market sentiment and other systematic risk factors.

Profit Analysis of Short Term Weekly Momentum Strategy in the Korean Stock Market

2015 ◽  
Vol 23 (4) ◽  
pp. 543-569
Author(s):  
Jun Ho Hwang
Keyword(s):  
Financial Crisis ◽  
Stock Market ◽  
Abnormal Returns ◽  
Short Term ◽  
Momentum Strategy ◽  
Momentum Strategies ◽  
Price Limit ◽  
Holding Period ◽  
Momentum Profits ◽  
Korean Stock Market

This paper shows the momentum strategies that selected stocks based on their returns from a past 1 week generate long lasting significant abnormal returns. I observe the negative momentum profit from 1 week momentum portfolio and it disappears when the holding period is longer than 22 week. In addition, I empirically shows that the weekly momentum strategies are able to generate negative profits also after the financial crisis. it is opposite result with literature, reported positive momentum after the financial crisis, I realize this result due to the characteristic of short term weekly momentum and market adjust returns. The price limit is one of the big features of Korean stock market. I consider the set of sample period by change of price limit. I find the positive momentum profits only in the period of narrow price limit range. For the check on the relation between liquidity and profit of momentum strategy, I employ the illiquid measure of Amihud (2002). I find that the strong and long lasting negative momentum profit from illiquid stock portfolio. This result implied that liquidity enhances the profit of momentum.

scholarly journals Stock price reaction to cash dividend announcements in Vietnam

2017 ◽  
Vol 24 (02) ◽  
pp. 74-89
Author(s):  
Truong Nguyen Xuan ◽  
Huong Dao Mai ◽  
Anh Nguyen Thi Van
Keyword(s):  
Stock Prices ◽  
Stock Price ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Cash Dividend ◽  
Share Prices ◽  
Price Reaction ◽  
Cumulative Abnormal Returns ◽  
Stock Price Reaction ◽  
The Uk

This study attempts to investigate the stock price reaction to divi-dend announcements using data of Vietnamese listed firms on Hochiminh Stock Exchange (HOSE). Standard event study meth-odology has been employed on a sample of 198 cash dividend an-nouncements made in 2011. The results show that stock prices react significantly and positively to the announcements of cash dividends, including both dividend increasing and dividend decreasing events. It is also plausible that cumulative abnormal returns exhibit an in-creasing trend before announcement yet a decreasing trend after announcement dates. More specifically, we find positively signifi-cant cumulative abnormal returns of around 1.03% on announce-ment dates; other larger windows also demonstrate positive abnor-mal returns of around 1.3%. In addition, cash dividends have differ-ent effects on share prices of firms from different industries. These results support the signaling hypothesis and are also consistent with prior findings of empirical research done on more developed mar-kets, i.e. the US and the UK.

scholarly journals The Determinants of the Stock Price Performance of Analyst Recommendations

2019 ◽  
Vol 15 (11) ◽  
pp. 25
Author(s):  
Yaling Lin ◽  
Liang-Chien Lee ◽  
Tsung-Li Chi ◽  
Chen-Chang Lo ◽  
Wai-Shen Chung
Keyword(s):  
Stock Price ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Market Model ◽  
Firm Characteristics ◽  
Cross Sectional ◽  
Insider Ownership ◽  
Taiwan Stock Exchange ◽  
Price Performance ◽  
Abnormal Performance

This study examines the cross-sectional determinants of the price reaction to analysts’ recommendations disseminated through various type of media and for firms listed in Taiwan stock markets. We measure abnormal returns using the market model of event study. Based on the type of media (traditional media/social media) and the type of exchange (Taiwan Stock Exchange (TWSE)/Taipei Exchange (TPEx)), we classify the combined sample observations into four samples and run quantile regressions to investigate whether the relation will be uniform across various quantile levels. Our results show that the relation between firm characteristics and cumulative abnormal returns is not homogeneous across various quantiles of abnormal returns. Our evidence indicates that in general the relation tends to be stronger for firms at higher performance quantile levels and tends to be more pronounced for TWSE firms. The strongest relation is found for the Traditional/TWSE sample, where the abnormal returns are positively related to insider ownership and prior-period earnings, and negatively related to institutional shareholding and price-to-book ratio for firms in the highest abnormal performance quantile.

scholarly journals Profitability of the Momentum Strategies in the Tunisian Stock Market

2016 ◽  
Vol 7 (1) ◽  
pp. 17 ◽  
Author(s):  
Ramzi Boussaidi ◽  
Chaima Hmida
Keyword(s):  
Stock Market ◽  
Abnormal Returns ◽  
Momentum Strategies ◽  
Stock Performance ◽  
Listed Firms ◽  
Holding Period ◽  
The Past ◽  
Cumulative Abnormal Returns

This paper examines the profitability of the momentum strategies in the Tunisian stock market using all the listed firms for the period 1991-2015. The stock performance is measured by the returns and the cumulative abnormal returns during a formation and holding period of 3-12 months. We found evidence of momentum profitability especially for the sub-period 2003-2015. Buying the tercile or the quintile portfolio of stocks that have performed well in the past 3, 6 and 9 months and selling the tercile or quintile of the stocks that have performed poorly during the same periods, generate statistically and economically positive returns during the subsequent 3, 6, 9 and 12 months.

Dissecting sources of price momentum: evidence from India

2015 ◽  
Vol 10 (4) ◽  
pp. 801-819 ◽  
Author(s):  
Sanjay Sehgal ◽  
Kanu Jain
Keyword(s):  
Factor Model ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Good News ◽  
Economic Variables ◽  
Content Type ◽  
Price Momentum ◽  
Momentum Profits ◽  
Arbitrage Opportunities ◽  
Portfolio Managers

Purpose – Momentum is an unresolved puzzle for the financial economists. The purpose of this paper is to dissect the sources of momentum profits and investigate the possible role played by the macro-economic variables in explaining them. Design/methodology/approach – The data for 493 companies that form part of Bombay Stock Exchange 500 index in India is used for calculating 6-6 momentum profits. Profits from the strategy are regressed on Capital Asset Pricing Model (CAPM) and Fama-French (FF) model to see whether they can explain these profits. Guided by prior research, three methodologies are used to see the possible role played by macro-economic variables in explaining momentum payoffs. Findings – The empirical results show that momentum profits are persistent in the intermediate horizon. CAPM and FF three-factor model fail to explain these returns. Price momentum seems to be explained in one of the model by lagged macro-economic variables which lend an economic foundation to the Carhart factor. The “Winner minus Loser” factor explains about 37 percent of abnormal returns on the winner portfolio that are missed by the FF model. The unexplained momentum profits seem to be an outcome of investors’ over-reaction to past information. Hence, the sources of price momentum profits seem to be partially behavioral and partially rational. Practical implications – The failure of risk models in fully explaining the momentum profits may be good news for portfolio managers who are looking out for stock market arbitrage opportunities. Originality/value – This paper fulfills an identified need to study the sources behind price momentum profits in Indian context.

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