Investigating the Impact of Business Cycles and Investment Strategies on Return Asymmet

Subject Areas : Financial Knowledge of Securities Analysis

elnaz reshedi ¹ , fatemeh samadi ²

1 - Master of science, Department of Management, Faculty of Humanities, electronic Tehran Branch, Islamic Azad University
2 - Assistant Professor,college of humanitties, Department of Management, Shargh Tehran Branch, Islamic Azad University. (Responsible aothur)

Received: 2022-09-12 Accepted : 2022-10-16 Published : 2023-05-22

Keywords: Business Cycle, investment strategies, Return Skewness,

Abstract :

This study empirically had examined the effect of business cycles and investment strategies on return asymmetry. The statistical population of research consists all of companies listed in Tehran stock exchange market during 2014 to 2019 that a number of 118 companies were considered as statistical sample of research. The research method is causality type, the method of gathering information in literature is based on library research, and in the part of hypothesis, testing is based on documentation. Generally the statistical method had been used in this research is based on combinational data regression method and analysis of variance tests. Results showed that boom business periods cause positive skewness in stock returns and recesion periods cause negative skewness in stock returns. The results also showed that return skewness-based investment strategies did not have a significant effect on portfolio return skewness, but portfolio performance in terms of return and Sharpe ratio for return skewness based strategies was significantly better than other strategies. Succeeding in the stock market of companies, like any other market, requires choosing the right approach and maintaining order. Without these, investing will be just unplanned sales that make the investor's profit or loss more dependent on luck than on skills such as research perseverance, analytical power, decision-making ability, and patience to achieve goals. And things like that. Among the various approaches to investing in the stock market, diversified portfolio formation is recognized as a passive but relatively reliable method. Using this method reduces the amount of risk and keeps the return on investment at a level close to the total market return.

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