scholarly journals Momentum effect in stocks’ returns between the rational and the behavioural financial theories

2013 ◽  
Vol 2 (1) ◽  
pp. 1-10 ◽  
Author(s):  
Faten Zoghlami
Keyword(s):  
Size Effect ◽  
Excess Return ◽  
Momentum Effect ◽  
Excess Returns ◽  
Momentum Strategy ◽  
Momentum Strategies ◽  
Before And After ◽  
Result Show ◽  
Full Rationality

The puzzling momentum strategies’ payoffs are defying the rational financial theory asserting the stocks returns’ unpredictability. Moreover, the momentum effect persist the main stocks returns’ anomaly escaping any risk-based explanation. The resilience of this phenomenon had favoured the development of behavioural financial field, which breaks with the investor’ full rationality hypothesis. This paper attempts to reconcile between the rational and behavioural financial theories, through the introduction of the progressive rationality concept. Especially, we argue that recognizing the temporary inappropriate investors’ reactions; can resolve the puzzling momentum anomaly.  To fulfil our objective, first we correct the monthly returns inherent to 56 stocks listed on the Tunisian stocks market from January 1998 to December 2011, from the related serial autocorrelations involved by the investors’ over and under reactions. Then, we examine the 6/6 momentum strategy’ excess returns before and after the monthly returns serial autocorrelations’ corrections. The result show that the momentum strategy is still profitable but no longer puzzling, since the related excess return is henceforth fully captured by a β and a size effect..

Evidence for Some Underlying Time Series Momentum

2014 ◽  
pp. 205-217
Author(s):  
Faten Zoghlami
Keyword(s):  
Time Series ◽  
Stock Market ◽  
Stock Returns ◽  
Excess Returns ◽  
Momentum Strategy ◽  
Cross Sectional ◽  
Times Series ◽  
Before And After ◽  
Main Driver ◽  
Full Rationality

The chapter documents significant and momentary momentum pattern in stock returns times series. Moreover, the chapter gives evidence that this time series momentum is the main driver of the cross-sectional momentum pattern. The temporary time series momentum pattern is midway between the behavioural and rational financial theories. Given the strong and positive autocorrelation in stock returns time series, the authors argue that investors are temporary under reacting, and they progressively find their full rationality. Using monthly returns inherent to all stocks listed on Tunisian stock market, from January 2000 to December 2009, the authors examine momentum strategy’s excess returns before and after considering time series momentum in stocks returns. Results show that momentum strategy is still profitable, but no longer puzzling. Furthermore, the chapter aims to reconcile between the behavioural and the rational financial theories, through the introduction of the progressive investors rationality.

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.

Empirical Evaluations on Momentum Effects of Taiwan Index Futures via Stop-Loss and Stop-Profit Mechanisms

2019 ◽  
Vol 18 (02) ◽  
pp. 629-648 ◽  
Author(s):  
Mu-En Wu ◽  
Wei-Ho Chung
Keyword(s):  
Financial Markets ◽  
Market Price ◽  
Efficient Market Hypothesis ◽  
Stock Index ◽  
Stock Index Futures ◽  
Momentum Effect ◽  
Momentum Strategy ◽  
Momentum Strategies ◽  
Index Futures ◽  
Stop Loss

The Efficient-Market Hypothesis (EMH) is one of the important theories in financial markets. Under this hypothesis, developing a robust profitable strategy is infeasible because the market price fluctuates immediately following any new information and is thus unpredictable. However, many empirical studies have shown that certain trading strategies in the financial markets are profitable, and the Momentum Strategy is one of the major strategies among them. With four momentum strategies, this paper uses the real-world data points (intra-day data of one-minute time frame) for back-testing the Taiwan Stock Exchange Capitalization Weighted Stock Index Futures (TAIEX Futures) during the period from January 04, 2010 to March 25, 2015. Numerical comparisons among the four strategies reveal that there exist market inefficiencies in Taiwan stock market. We verified the momentum effect of Taiwan Index Futures market through different stop-loss and stop-profit mechanisms. In conclusion, the management of stop-loss and stop-profit is crucial in the profit/loss of the trading strategy. The technique can be applied to many trading methodologies in improving the quality of strategies. Money management provides another path for strategy planning other than purely focusing on the technical mechanisms.

scholarly journals The Profitability of Momentum Strategies: Empirical Evidence from Damascus Securities Exchange (DSE)

2018 ◽  
Vol 5 (1) ◽  
pp. 16-29
Author(s):  
Oubay Mahmoud ◽  
Almougheer I Wardeh
Keyword(s):  
Empirical Evidence ◽  
Market Risk ◽  
Trading Strategies ◽  
Market Model ◽  
Momentum Effect ◽  
Momentum Strategy ◽  
Momentum Strategies ◽  
Monthly Data ◽  
Contrarian Strategy ◽  
Momentum Profits

The purpose of this study is to examine the profitability of Momentum based- trading strategies and investigate the causes of such profitability in Damascus Securities Exchange (DSE) market. The study analyzed 16 Momentum strategies based on full rebalancing and equally weighted techniques using monthly data from January 2010 to December 2016. The findings of the study showed low but significant Momentum effect, where the returns of Momentum portfolios were statistically positive only in 1 out of 16 strategies. Our findings suggest that Momentum strategy is applicable for winner portfolios whereas contrarian strategy is more appropriate for loser portfolios. We also adopted Market Model in order to investigate the possible risk-based explanations of Momentum profits, but we found that market risk is unable to explain the Momentum profitability in DSE market.

scholarly journals Pengujian Tiga Asset Pricing Model Terhadap Excess Return Portofolio Pada Negara Berkembang di ASEAN

2019 ◽  
Vol 2 (1) ◽  
pp. 24-30
Author(s):  
Adam Nurkholik
Keyword(s):  
Asset Pricing ◽  
Size Effect ◽  
Factor Model ◽  
Excess Return ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
Momentum Effect ◽  
Market Effect ◽  
Asset Pricing Model ◽  
Value Effect

Studi mengenai Asset Pricing Model pada pasar negara maju telah dipelajari secara ekstensif dalam 35 tahun terakhir, namun hanya sedikit yang mendalaminya di pasar negara berkembang. Tujuan penelitian ini adalah mengkonfirmasi eksistensi efek pasar (market effect), efek ukuran (size effect), efek nilai (value effect) dan efek momentum (momentum effect) dalam excess return portofolio dan menguji seberapa baik tiga Asset Pricing Model memprediksi excess return portofolio untuk negara berkembang di ASEAN. Metode Penelitian menggunakan metode ekspos fakto dengan pendekatan korelasional. Teknik analisis data yang digunakan dalam penelitian ini adalah analisis regresi berganda dengan tiga Asset Pricing Model, yakni Capital Asset Pricing Model (CAPM), Three-Factor Model, Four-Factor Model. Konstruksi portofolio dibentuk berdasarkan ukuran dan nilai (size-B/M) dan berdasarkan ukuran dan momentum (size-momentum). Hasil uji hipotesis penelitian menunjukkan: 1) Market effect terjadi di Thailand, Malaysia dan Indonesia, baik pada portofolio size-B/M maupun portofolio size-momentum; 2) Size effect hanya terjadi di Malaysia, baik pada portofolio size-B/M maupun portofolio size-momentum; 3) Value effect hanya terjadi di Malaysia dan hanya pada portofolio size-B/M; 4) Momentum effect terjadi di Thailand dan Malaysia, baik pada portofolio size-B/M maupun portofolio size-momentum; 5) Four-Factor Model adalah model estimasi yang terbaik dan paling akurat dalam menduga excess return portofolio dibanding Three Factors Model dan CAPM baik di Thailand, Malaysia maupun Indonesia pada portofolio size-B/M maupun portofolio size-momentum.

Are Indian Investors Return Chasers? An Anatomy of their Trading Behavior

GIS Business ◽  
2016 ◽  
Vol 11 (3) ◽  
pp. 32-44
Author(s):  
Martin Bernard ◽  
Malabika Deo
Keyword(s):  
Equity Returns ◽  
Trading Behavior ◽  
Momentum Effect ◽  
Momentum Strategy ◽  
Price Momentum ◽  
Momentum Profits ◽  
Indian Context ◽  
Time Period ◽  
Monthly Return ◽  
Indian Stock Market

Momentum has remained an unanswered anomaly in finance literature. Researchers have pointed out two arguments, whether the source of prior return anomalies are rational or behavioral. In this paper, we examined return chasing tendency investors and the profitability of probable price momentum strategy in Indian equity market using the monthly return data of equities represented in BSE-500 index encompassing the time period from July 2004 to Jun 2014. Study is an attempt to analyze momentum effect before, during and after the financial crisis of 2007–2009 to check whether investors continue to follow the same strategy during crisis or their behavior undergoes any change. Also study examined the adequacy of rational CAPM models to explain momentum profits. The result evidenced a strong presence of economically and statistically significant momentum profit in Indian stock market equity returns. Therefore return chasing tendency of Indian investors is found to be persistent in the intermediate horizon in Indian context. Closer observation of the results reveals that, Indian investors are winners chasers rather than investor in past losers. Study also confirmed that investors sentiments are volatile according to general market environment and inadequacy of rationalist equilibrium model to explain momentum profits.

scholarly journals Engagement of Occupational Safety and Health at Mahkamah’s Welding Worker Medan

2018 ◽  
Vol 1 (1) ◽  
pp. 48-53
Author(s):  
Eka Mahyuni ◽  
Kalsum ◽  
Muhammad Makmur Sinaga
Keyword(s):  
Occupational Safety ◽  
Occupational Safety And Health ◽  
The Self ◽  
Safety And Health ◽  
Before And After ◽  
Physical Risk ◽  
Result Show ◽  
Rest Time ◽  
Self Protection ◽  
Better Than

Welding worker was not the easy task because it has a very high physical risk and the process requires special skills and equipment to prevent accident exposed. This devotional activity is carried out in the welding industry at Jl. Mahkamah with two partners, namely CV. M. Nauli and CV. Cahaya. The aim of training activity made the worker able to analyze the hazards in the workplace so that it will be more careful in their work. The result show that the training could develop the worker to be aware about safety and health work patterns. In order to support the work in accordance with occupational safety and health standards, workers are also given pocket books that contain safety and health working methods and also given the self-protection of welding like welding clothes, welding gloves, welding mask, welding glasses and masks. Based on the evaluation of activities, it show that the worker has develop and always using the self protector in their work evenly. It build the good collaboration between them and they are could arrage the rest time with ergonomics relaxation in 5-10 minutes. The workshop station looks better than before and the workshop doing good house keeping before and after their work.

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.

Delisted stocks and momentum: Evidence from a new Australian dataset

2016 ◽  
Vol 42 (1) ◽  
pp. 140-160 ◽  
Author(s):  
Thanh D Huynh ◽  
Daniel R Smith
Keyword(s):  
Trading Strategy ◽  
Momentum Effect ◽  
Momentum Strategies ◽  
Momentum Profits ◽  
Momentum Trading ◽  
The Impact ◽  
The U.S

We explore the impact of delisting on the performance of the momentum trading strategy in Australia. We employ a new dataset of hand-collected delisting returns for all Australian stocks and provide the first study outside the U.S. to jointly examine the effects of delisting and missing returns on the magnitude of momentum profits. In the sample of all stocks, we find that the profitability of momentum strategies depends crucially on the returns of delisted stocks, especially on bankrupt firms. In the sample of large stocks, however, the momentum effect remains strong after controlling for the effect of delisted stocks, in contrast to the U.S. evidence in which delisting returns can explain 40% of momentum profits. As these large stocks are less exposed to liquidity risks, the momentum effect in Australia is even more puzzling than in the U.S.

scholarly journals Do Behaviors Such As Eating Faster or Taking Larger Bites Moderate the Portion Size Effect?

2021 ◽  
Vol 5 (Supplement_2) ◽  
pp. 1208-1208
Author(s):  
Paige Cunningham ◽  
Liane Roe ◽  
Kathleen Keller ◽  
Anouk Hendriks ◽  
Barbara Rolls
Keyword(s):  
Size Effect ◽  
Random Coefficients ◽  
Portion Size ◽  
Controlled Study ◽  
Eating Rate ◽  
Bite Size ◽  
Targeted Interventions ◽  
Meal Intake ◽  
Before And After ◽  
Negative Effect

Abstract Objectives Individuals eat more when served larger portions, and this may be influenced by eating-related microstructural behaviors. In a controlled study, we explored whether microstructural components of eating such as eating rate, bite size, bite count, and meal duration influenced the portion size effect. Methods In a randomized crossover design, 44 adults aged 18 to 68 y (66% women; 45% with overweight or obesity) ate lunch in the laboratory once a week for four weeks. The meal consisted of a single dish of pasta (1.4 kcal/g) that was varied in portion size (400,500, 600, or 700 g) along with ∼700 g of water. Intake was assessed by weighing items before and after the meal. To characterize eating microstructure, meals were video-recorded to assess bite counts and meal duration, which were used to calculate mean eating rate (g/min) and mean bite size (g/bite). The influence of eating microstructure on the portion size effect was analyzed by random coefficients models. Results As larger portions were served, meal intake increased in a curvilinear manner (P < 0.0001). Compared to the smallest portion, intake of the largest portion increased by a mean (±SEM) of 123 ± 16 g (43%). As portions were increased, there were similar increases in bite count (35%) and meal duration (38%; both P < 0.0001), but only small increases in mean bite size (8%; P = 0.019) and no significant change in eating rate (P = 0.92). Measures of eating microstructure did not moderate the portion size effect but did have main effects on intake across all portions. Individuals ate more at the meal when they ate faster, took larger bites, took more bites, or ate for longer (all P < 0.0001). Body mass index did not influence eating microstructure or the strength of the portion size effect but had a modest negative effect on intake across all meals (−5.9 ± 2.7 g/unit increase in BMI; P = 0.046). Conclusions Eating-related microstructural behaviors influenced meal intake across portions, but did not moderate the effect of portion size on intake. Individuals who ate faster and took larger bites ate more across all portions, possibly as a result of reduced oro-sensory exposure, which can delay meal termination. Targeted interventions to alter components of eating microstructure have the potential as strategies to reduce overconsumption. Funding Sources NIDDK, Jenny Craig.

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