Does Book-to-Market Ratio Matter in Profitability of Momentum Investment Strategy in Tehran Stock Exchange?

2016 ◽  
pp. 23-27
Author(s):  
Narjes Khosroazad ◽  
Hasti Chitsazan
Keyword(s):  
Stock Exchange ◽  
Investment Strategy ◽  
Book To Market Ratio

Research of Building Intelligent Investment Decision Mode for Investment Portfolio — Using Taiwan Electronic Stock as an Example

2010 ◽  
Vol 13 (04) ◽  
pp. 621-645 ◽  
Author(s):  
Wen-Rong Jerry Ho ◽  
C. H. Liu ◽  
H. W. Chen
Keyword(s):  
Stock Returns ◽  
Stock Prices ◽  
Stock Exchange ◽  
Investment Decision ◽  
Investment Strategy ◽  
Return Rate ◽  
Selection Strategy ◽  
Stock Selection ◽  
Taiwan Stock Exchange ◽  
Book To Market Ratio

This research uses all of the listed electronic stocks in the Taiwan Stock Exchange as a sample to test the performance of the return rate of stock prices. In addition, this research compares it with the electronic stock returns. The empirical result shows that no matter which kind of stock selection strategy we choose, a majority of the return rate is higher than that of the electronics index. Evident in the results, the predicted effect of BPNN is better than that of the general average decentralized investment strategy. Furthermore, the low price-to-earning ratio and the low book-to-market ratio have a significant long-term influence.

Day-of-the-week effect: A sectoral analysis of Pakistan stock exchange

2021 ◽  
pp. 2141006
Author(s):  
Farah Naz ◽  
Kanwal Zahra ◽  
Muhammad Ahmad ◽  
Salman Riaz
Keyword(s):  
Stock Exchange ◽  
Abnormal Returns ◽  
Weak Form ◽  
Investment Strategy ◽  
Ordinary Least Squares ◽  
Financial Decision ◽  
Day Of The Week ◽  
Timing Strategies ◽  
Autoregressive Conditional Heteroscedasticity ◽  
Sector Returns

This study scrutinizes the day-of-the-week effect anomaly in the context of market and industry analysis of the Pakistan stock exchange. For this purpose, daily closing prices of KSE-100, KSE-30, and KSE-All Share Index from January 01, 2009 to December 31, 2018, have been used. Similarly, sector returns are also calculated, taking average log-returns of selected sample firms. To analyze the data ordinary least squares (OLS) regression, general generalized autoregressive conditional heteroscedasticity (GARCH) (1,1) as well as asymmetric threshold GARCH (TGARCH) and exponential GARCH (EGARCH) models have been employed to model the leverage effect of good and bad news on market volatility. The results indicate the evidence of daily seasonality, with significant Monday and Wednesday effect in PSX indices returns as well as in most of the industry returns. Monday is found to be the day with the highest average returns with the highest return volatility. The findings of the study reveal that there exists a weak form of inefficiency in the Pakistan Stock Market, which implies the possibility of earning abnormal returns by investors using timing strategies. In terms of return predictability, this study is essential for international and domestic investors and it may affect their investment strategy and return management. The results might be interesting to the financial experts as they ponder the available conditions in the capital market for financial decision-making. This study is one of its first kind that includes both indices as well as industry returns for analysis of manufacturing industries in Pakistan stock exchange.

scholarly journals Fundamental factors influencing returns of shares listed on the Johannesburg Stock Exchange in South Africa

2017 ◽  
Vol 9 (2) ◽  
pp. 426-435
Author(s):  
Marise Vermeulen
Keyword(s):  
Stock Exchange ◽  
Dividend Payout ◽  
Return On Equity ◽  
Explanatory Variables ◽  
Johannesburg Stock Exchange ◽  
Earnings Per Share ◽  
Asset Growth ◽  
Book To Market Ratio ◽  
The Impact ◽  
The Relationship

This study investigated the relationship between share returns and nine variables that had been proven to influence returns in previous research, using a multiple regression analysis. These variables are size, leverage, book-to-market ratio, earnings yield, dividend payout, earnings growth, return on equity, earnings per share and asset growth. The impact of some of the variables on share returns proved to be insignificant, and some collinearity was identified between some of the variables. However, three significant variables were identified and the final regression model included the book-to-market ratio, dividend payout and leverage as the explanatory variables.

Risk Budgeted Portfolio Optimization Using an Extended Ant Colony Optimization Metaheuristic

2012 ◽  
Vol 3 (4) ◽  
pp. 25-42 ◽  
Author(s):  
G. A. Vijayalakshmi Pai
Keyword(s):  
Ant Colony Optimization ◽  
Portfolio Optimization ◽  
Stock Exchange ◽  
Experimental Studies ◽  
Optimization Methods ◽  
Investment Strategy ◽  
Ant Colony ◽  
Ant Colony Optimization Algorithm ◽  
Data Set ◽  
Exchange Data

Risk Budgeted portfolio optimization problem centering on the twin objectives of maximizing expected portfolio return and minimizing portfolio risk and incorporating the risk budgeting investment strategy, turns complex for direct solving by classical methods triggering the need to look for metaheuristic solutions. This work explores the application of an extended Ant Colony Optimization algorithm that borrows concepts from evolution theory, for the solution of the problem and proceeds to compare the experimental results with those obtained by two other Metaheuristic optimization methods belonging to two different genres viz., Evolution Strategy with Hall of Fame and Differential Evolution, obtained in an earlier investigation. The experimental studies have been undertaken over Bombay Stock Exchange data set (BSE200: July 2001-July 2006) and Tokyo Stock Exchange data set (Nikkei225: July 2001-July 2006). Data Envelopment Analysis has also been undertaken to compare the performance of the technical efficiencies of the optimal risk budgeted portfolios obtained by the three approaches.

scholarly journals The Monday effect on the Johannesburg Stock Exchange

1985 ◽  
Vol 16 (1) ◽  
pp. 7-11 ◽  
Author(s):  
N. Bhana
Keyword(s):  
Stock Exchange ◽  
Efficient Market Hypothesis ◽  
Investment Strategy ◽  
Weekend Effect ◽  
The Other ◽  
Expected Returns ◽  
Calendar Time ◽  
Expected Return ◽  
Average Return ◽  
Day Of The Week

The efficient market hypothesis submits that the expected returns on shares and other financial assets are identical for all the days of the week. Studies of share returns on the New York Stock Exchange have revealed that the expected returns are not identical for the various days of the week. This article examines two hypotheses that have attempted to explain the distribution of returns over different days of the week. The calendar-time hypothesis states that the expected return for Monday is three times the expected return for the other days of the week. The trading-time hypothesis states that the expected return is the same for each day of the week. During the period 1978-1983, the daily returns on shares traded on the JSE were inconsistent with both hypotheses. The average return for Monday was significantly negative while the average return for the other trading days was positive with Wednesday showing the highest return. Evidence is presented to show that Treasury Bills have the same weekend effect as share transactions. An investment strategy based on the observed pattern of share returns over different days of the week is suggested. The implications of the effect of day of the week for tests of market efficiency are examined.

Measuring the intellectual capital of Italian listed companies

2017 ◽  
Vol 18 (4) ◽  
pp. 710-732 ◽  
Author(s):  
William Forte ◽  
Jon Tucker ◽  
Gaetano Matonti ◽  
Giuseppe Nicolò
Keyword(s):  
Intellectual Capital ◽  
Firm Growth ◽  
Stock Exchange ◽  
Market Value ◽  
Investment Strategy ◽  
Sources Of Information ◽  
Content Type ◽  
Italian Context ◽  
The Impact ◽  
The Relationship

Purpose The purpose of this paper is to investigate the relationship between intellectual capital (IC), measured in terms of the market to book (MTB) ratio, and potential key determinants of IC value such as intangible assets (IA) and a range of other factors. Design/methodology/approach The study is conducted for a sample of 140 Italian corporations over the period 2009-2013. Applying a holistic market-based approach, the relationship between IC value and selected determinants from the extant literature is tested. Five hypotheses are tested using a pooled OLS regression model, while controlling for time. ROE is employed as a useful firm profitability indicator from the perspective of an equity investor. Moreover, four robustness tests are undertaken. Findings The results show that IA, profitability, leverage, industry type, auditor type, and family ownership positively affect IC value, whereas SIZE and AGE negatively affect IC value. Moreover, the findings of the robustness tests suggest that all firms, and not just knowledge-intensive business service industry firms, manage knowledge. Research limitations/implications The validity of the findings is limited to the Italian context, as the study focuses on a sample of companies listed on the Milan Stock Exchange, all of which prepare their individual financial statements according to IFRS. Further limitations are related to the use of market value in the short term, as it is influenced by market volatility. The study may allow academic researchers to investigate the impact of other non-accounting sources of information on market value within a multidisciplinary perspective. Practical implications This paper also has implications for managers and practitioners. The findings suggest that managers should not take for granted that firm growth (an increase in SIZE) alone will lead to an increase in IC value, in the absence of a consistent IC-oriented investment strategy. Managers should also avoid smoothing their IC investment as the company grows, in order to maintain a stable MTB ratio. Further, standard setters should seek to explore better means of disclosing non-accounting information relating to IC value. Originality/value This paper contributes to the IC literature as it is the first study which applies the market capitalization approach to analyze IC value determinants in the Italian context, within the framework of IFRS. The findings reveal some interesting relationships between the MTB ratio and recognized intangible investments, which are found to be insignificant in previous studies, confirming that, through the holistic effect, the MTB ratio may be a good proxy for IC.

scholarly journals Discrete approximate iterative method for fuzzy investment portfolio based on transaction cost threshold constraint

Open Physics ◽  
2019 ◽  
Vol 17 (1) ◽  
pp. 41-47 ◽  
Author(s):  
Manwen Tian ◽  
Shurong Yan ◽  
Xiaoxiao Tian
Keyword(s):  
Empirical Research ◽  
Dynamic Optimization ◽  
Optimization Model ◽  
Path Dependence ◽  
Stock Exchange ◽  
Linear Convergence ◽  
Threshold Value ◽  
Investment Strategy ◽  
Investment Portfolio ◽  
Absolute Deviation

Abstract There are many non-probability factors affecting financial markets and the return on risk assets is fuzzy and uncertain. The authors propose new risk measurement methods to describe or measure the real investment risks. Currently many scholars are studying fuzzy asset portfolios. Based on previous research and in view of the threshold value constraint and entropy constraint of transaction costs and transaction volume, the multiple-period mean value -mean absolute deviation investment portfolio optimization model was proposed on a trial basis. This model focuses on a dynamic optimization problem with path dependence; solving using the discrete approximate iteration method certifies the algorithm is convergent. Upon the empirical research on 30 weighted stocks selected from Shanghai Stock Exchange and Shenzhen Stock Exchange, a multi-period investment portfolio optimum strategy was designed. Through the empirical research, it can be found that the multi-period investments dynamic optimization model has linear convergence and is more effective. This is of great value for investors to develop a multi-stage fuzzy portfolio investment strategy.

scholarly journals Abnormal Return, Market Reaction around Rating Announcement in Tunisian Stock Market

2016 ◽  
Vol 8 (7) ◽  
pp. 322
Author(s):  
Wissem Daadaa
Keyword(s):  
Stock Price ◽  
Abnormal Return ◽  
Stock Return ◽  
Market Reaction ◽  
Stock Exchange ◽  
Price Change ◽  
Study Methodology ◽  
Book To Market Ratio ◽  
The Impact ◽  
Event Study Methodology

This paper tests the market reaction and the stock price change around rating announcements in Tunisian stock exchange using the event study methodology. We examine the impact of the change rating announcement on stock return firms from 2006 to 2010. The results show that only the negative rating with downgrades note which is associated to negative abnormal return. The market does not seem to be interested upgrades rating on the Tunisian market. The negative reaction of the market can be explained by leverage change, Book to Market ratio and the level of the rating fall.

scholarly journals PENGARUH KOMISARIS INDEPENDEN DAN KEPEMILIKAN MANAJERIAL TERHADAP KINERJA KEUANGAN DENGAN KONSERVATISME AKUNTANSI SEBAGAI VARIABEL INTERVENING

Equity ◽  
2019 ◽  
Vol 21 (1) ◽  
pp. 81
Author(s):  
Ajun Daruri Jaya ◽  
Rudi Zulfikar ◽  
Kurniasih Dwi Astuti
Keyword(s):  
Corporate Governance ◽  
Regression Analysis ◽  
Financial Performance ◽  
Path Analysis ◽  
Statistical Method ◽  
Stock Exchange ◽  
Accounting Conservatism ◽  
The Other ◽  
Direct Relation ◽  
Book To Market Ratio

This study aimed to analyze the influence of Independent Comission er and manajerial ownership on financial performance with accounting conservatism as an intervening variable. Independent Comissioner is m easured by total Independent Comissioner divided by total Independent Board, manajerial ownership is measured by share owned by mana jemen divided by total outstanding share, financial performance is proxied with Return On Asset and accounting conservatism is proxied by the Book to Market Ratio. The sample in this study are as many as 174 companies, and samples u sed in this study is a manufacturing company listed on the Indonesia Stock exchange during 2012-2016. The statistical method used is regression analysis with path analysis. The results show that better corporate governance, in terms of greater of independence commissioner and manajerial ownership shows to be a direct relation tofinancial performance. On the other hand , manajerial ownership lowered the financial performance via accounting conservatism. Howeever, in terms of greater independent commissioner does not lowered the financial performancce via accounting conservatism.

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