scholarly journals Retornos anormais e estratégias contrárias

2003 ◽  
Vol 1 (2) ◽  
pp. 165 ◽  
Author(s):  
Marco Bonomo ◽  
Ivana Dall'Agnol
Keyword(s):  
Firm Performance ◽  
Stock Market ◽  
Stock Returns ◽  
Abnormal Returns ◽  
Systematic Evaluation ◽  
Momentum Effect ◽  
The Real ◽  
Contrarian Strategies ◽  
The Us ◽  
Inflation Stabilization

We test the hypothesis that strategies which are long on portfolios of looser stocks and short on portfolios of winner stocks generate abnormal returns in Brazil. This type of evidence for the US stock market was interpreted by The Bondt and Thaler (1985) as reflecting systematic evaluation mistakes caused by investors overreaction to news related to the firm performance. We found evidence of contrarian strategies profitability for horizons from 3 months to 3 years in a sample of stock returns from BOVESPA and SOMA from 1986 to 2000. The strategies are more profitable for shorter horizons. Therefore, there was no trace of the momentum effect found by Jagadeesh and Titman (1993) for the same horizons with US data. There are remaing unexplained positive returns for contrarian strategies after accounting for risk, size, and liquidity. We also found that the strategy profitability is reduced after the Real Plan, which suggests that the Brazilian stock market became more efficient after inflation stabilization.

scholarly journals Evolution of Price Effects After One-Day of Abnormal Returns in the US Stock Market

2020 ◽  
Author(s):  
Alex Plastun ◽  
Xolani Sibande ◽  
Rangan Gupta ◽  
Mark E. Wohar
Keyword(s):  
Stock Market ◽  
Abnormal Returns ◽  
Price Effects ◽  
The Us

scholarly journals Contrarian and Momentum Strategies in the Indian Capital Market

2002 ◽  
Vol 27 (1) ◽  
pp. 13-20 ◽  
Author(s):  
Sanjay Sehgal ◽  
I Balakrishnan
Keyword(s):  
Stock Returns ◽  
Indian Market ◽  
Momentum Effect ◽  
Short Term ◽  
Momentum Strategy ◽  
Momentum Strategies ◽  
Holding Period ◽  
The Us ◽  
One Year

The study attempts to evaluate if there are any systematic patterns in stock returns for the Indian market. The empirical findings reveal that there is a reversal in long-term returns, once the short-term momentum effect has been controlled by maintaining a one year gap between portfolio formation period and the portfolio holding period. A contrarian strategy based on long-term past returns provides moderately positive returns. Further, there is a continuation in short-term returns and a momentum strategy based on it provides significantly positive payoffs. The results in general are in conformity with those for developed capital markets such as the US.

The Effect of Short Sale Ban on the Relation between Disagreement and Stock Returns

2015 ◽  
Vol 23 (2) ◽  
pp. 155-182 ◽  
Author(s):  
Jun Sik Kim ◽  
Sung Won Seo
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Abnormal Returns ◽  
The Other ◽  
Exogenous Shock ◽  
Short Sale Constraints ◽  
Short Sale ◽  
Portfolio Returns ◽  
The Future ◽  
The Relationship

This paper investigates the effect of the short sale ban by the Korean government on the relationship between the disagreement among investors and the future stock returns. Short selling in Korean stock market was banned twice in 2008 and 2011. The short sale ban provides a natural experiment environment to study the effect of the short sale constraints on the relationship between the disagreement among investors and the future stock returns. Furthermore, it is an exogenous shock in the point of individual stocks. Thus, this paper focus on short sale ban periods to analyzes the stock return predictability of the disagreement among investors’ opinions about analysts’ earnings forecasts. Main results of this paper are as follows: First, the portfolio within the top 30% of the disagreement among investors experiences the significantly higher returns than that within the bottom 30% of the disagreement only during short sale ban periods. However, the two portfolio returns are not significantly different during the other periods excluding the short sale ban periods. These results are robust even after controlling for firm sizes, boot to market ratios, and the momentum effects. Second, a portfolio with higher the disagreement among investors presents significantly positive abnormal returns estimated by Fama-French’s three factor model during short sale ban periods. On the other hand, the abnormal returns of the portfolio with lower the disagreement among investors are not significantly different from zero. Furthermore, those returns of the portfolio with lower disagreement are not affected by the short sale ban. Finally, our findings show that individual stock returns are positively related to disagreement after controlling for the characteristics of individual stocks. Consequentially, the stocks with higher disagreement are overvalued during the short sale ban periods according to our robust empirical analyses with various control variables. According to our findings, we conclude that the short sale constraints are important factors to determine the predictability of disagreement on future stock returns. These are consistent with the results of short sale ban on the U.S. stock market from Autore, Billingsley, and Kovacs (2011).

Investor sentiment, customer satisfaction and stock returns

2015 ◽  
Vol 49 (5/6) ◽  
pp. 827-850 ◽  
Author(s):  
Chi-Lu Peng ◽  
Kuan-Ling Lai ◽  
Maio-Ling Chen ◽  
An-Pin Wei
Keyword(s):  
Customer Satisfaction ◽  
Stock Market ◽  
Stock Returns ◽  
Abnormal Returns ◽  
Investor Sentiment ◽  
Intangible Asset ◽  
Time Varying ◽  
Emotional States ◽  
Content Type ◽  
Intangible Information

Purpose – This study aims to investigate whether and how different sentiments affect the stock market’s reaction to the American Customer Satisfaction Index (ACSI) information. Design/methodology/approach – The portfolio approach, with time-varying risk factor loadings and the asset-pricing models, is borrowed from the finance literature to investigate the ACSI-performance relationship. A direct sentiment index is used to examine how investors’ optimistic, neutral and pessimistic sentiments affect the aforementioned relation. Findings – This paper finds that customer satisfaction is a valuable intangible asset that generates positive abnormal returns. On average, investing in the Strong-ACSI Portfolio is superior to investing in the market index. Even when the stock market holds pessimistic beliefs, investors can beat the market by investing in firms that score well on customer satisfaction. The out-performance of our zero-cost, long–short ACSI strategy also confirms the mispricing of ACSI information in pessimistic periods. Research limitations/implications – Findings are limited to firms covered by the ACSI data. Practical implications – Finance research has further documented evidence of the stock market under-reacting to intangible information. For example, firms with higher research and development expenditures, advertising, patent citations and employee satisfaction all earn superior returns. Literature also proves that investors efficiently react to tangible information, whereas they undervalue intangible information. In summary, combining our results and those reported in the literature, customer satisfaction is value-relevant for both investors and firm management, particularly in pessimistic periods. Originality/value – This study is the first to investigate how sentiment affects the positive ACSI-performance relationship, while considering the time-varying property of risk factors. This study is also the first to show that ACSI plays a more important role during pessimistic periods. This study contributes to the growing literature on the marketing–finance interface by providing better understanding of how investor emotional states affect their perceptions and valuations of customer satisfaction.

scholarly journals The overreaction hypothesis: the case of Ukrainian stock market

2013 ◽  
Vol 11 (1) ◽  
pp. 406-422 ◽  
Author(s):  
Ronald Henry Mynhardt ◽  
Alexey Plastun
Keyword(s):  
Stock Market ◽  
Abnormal Returns ◽  
Original Method ◽  
Short Term ◽  
Daily Fluctuation ◽  
Price Movement ◽  
Significant Evidence ◽  
Contrarian Strategies ◽  
Daily Data ◽  
Overreaction Hypothesis

This paper examines the short-term price reactions after one-day abnormal price changes on the Ukrainian stock market. The original method of abnormal returns calculation is examined. We find significant evidence of overreactions using the daily data over the period 2008-2012. Our analysis confirms the hypothesis that after an abnormal price movement the size of contrarian price movement is usually higher then after normal (typical) daily fluctuation. Comparing Ukrainian data with the figures from US stock market it is concluded that the Ukrainian stock market is less efficient which gives rise to opportunities for extra profits obtained from trading based on contrarian strategies. Based on results of the research we also recommend some rules of trading on short-term market overreactions.

scholarly journals Effects of changes in stock market index composition on stock returns: event study methodology on Zagreb Stock Exchange

2019 ◽  
Vol 5 (1) ◽  
pp. 43-54
Author(s):  
Tihana Škrinjarić
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Event Study ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Stock Market Index ◽  
Market Index ◽  
Study Methodology ◽  
Composition Changes ◽  
Event Study Methodology

AbstractThis paper observes the short-run effects of stock market index composition changes on stock returns on the Zagreb Stock Exchange (ZSE). In that way, event study methodology is employed in order to estimate abnormal returns and compare them amongst three subsets of stocks: those leaving the market index, those entering it, and constantly included stocks. The research included 14 regular and extraordinary revisions of the market index in the period from January 2nd, 2015 until March 21st, 2018. The results have confirmed two research hypotheses: stock exclusions from the market index have a negative effect on stock returns on the ZSE, which is consistent with the price pressure hypothesis; and there exist asymmetric effects of index composition changes on stock returns. This is the first study of this kind on the Croatian stock market, thus more questions need to be answered in future research.

Stock market and real activity : an empirical study of several Asian countries

2007 ◽  
Vol 4 (1) ◽  
pp. 39
Author(s):  
Masturah Ma'in ◽  
Arifin Md. Salleh ◽  
Abd. Ghafar Ismail
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Developed Countries ◽  
Causal Link ◽  
Least Square ◽  
Asian Countries ◽  
Real Activity ◽  
The Real ◽  
The Developed Countries ◽  
Data Frequency

The objective ofthis study is to investigate the performance ofthe stock market as an indicator to real activity. The evidence ofthis relationship will focus on the sample of data obtained from Malaysia, Japan, Australia, India and Pakistan. The ordinary least square (OLS) and ECM-causality are used to examine the cointegration relationship and causality effect through the sample of data frequency to the related countries. The results show that there is causal-link between stock returns and industrial production index. This particularly exists in Australia, Japan and Malaysia. However, in Pakistan and India, there are no effects traced Therefore, based on the empirical evidence, it clearly shows that the stock market does not predict the real activity in all Asian countries compared to the developed countries in which their stock markets play an important role in predicting the real activity.

scholarly journals Monetary Stability and Stock Returns: A Bivariate Generalized Autoregressive Conditional Heteroscedasticity Modelling Study

2015 ◽  
Vol 5 (2) ◽  
pp. 1 ◽  
Author(s):  
Ning Zeng
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Return ◽  
Inflation Rate ◽  
Common Stock ◽  
Conditional Correlation ◽  
Monetary Stability ◽  
The Core ◽  
The Us ◽  
Autoregressive Conditional Heteroscedasticity

<p class="ber"><span lang="EN-GB">This paper employs a constant conditional correlation bivariate EGARCH-in-mean model to investigate interactions among the rate of inflation, stock returns and their respective volatilities. This approach is capable of accommodating all the possible causalities among the four variables simultaneously, and therefore could deliver contemporary evidence of the nexus between monetary stability and stock market. The postwar dataset of the US inflation and stock returns is divided into pre- and post- Volcker period and the estimation results show some significant changes of inflation-stock return relation, as well as indirect links between two volatilities. The core findings in this study suggest that promoting monetary stability contributes to more mutual interactions among the four variables, in particular, common stock is a more effective hedge against inflation, and the level of inflation rate is central to explaining the relation between the two volatilities.</span></p>

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