Explain the moderating role of the investment horizon on excess returns from Implementation of the Momentum& Contrarian strategy changing in stock price volatilities
Subject Areas : Financial engineering
Mohammad ali
Sadeghi lafmejani
1
(Department of Accounting, Nour branch, Islamic Azad University, Nour, Iran)
javad
ramezani
2
(Department of Accounting, qaemshahr branch, Islamic Azad University, gaemshahr, Iran)
mehdi
khalilpour
3
(Department of Accounting, Nour branch, Islamic Azad University ,Nour, Iran)
Keywords: "stock price volatilities", "investment horizons", "Momentum& Contrarian Strategy",
Abstract :
Momentum& Contrarian trading strategies used to exploit the serial correlations of market yields and securities fall under financial exceptions and capital market irregularities. In this strategy, incremental returns can be achieved by buying past winning stocks and selling past losing stocks. Accordingly, the purpose of this study was to explain the moderating role of the investment horizon on the additional returns resulting from the use of accelerated-reverse strategies in Tehran Stock Exchange price Explain the moderating role of the investment horizon on excess returns from Implementation of the Momentum& Contrarian strategy changing in stock price volatilities. The hypothesis testing in the present study was performed using multivariate linear regression model and econometric modeling. In examining the moderating effect of investment horizons on the above relationship, it was also found that despite the unexpected effect of the surplus resulting from the change in strategy on the stock price fluctuations, the investment horizon parameter on the additional return relationship derived from the use of strategies Momentum& Contrarian of stock price fluctuations have no significant effect.
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