List of Articles ARMS Index

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  1 - Testing investment strategies based on behavioral finance
  Hashem Nikoomaram Ali Saeedi Kiarash Mehrani
  This study has tested momentum and reverse investment strategies in a behavioral finance framework, based on various optimistic, pessimistic and normal market sentiments. At the first step, sentiment Index by means of ARMS Adjusted Trading Index was measured. Then, maki More

  This study has tested momentum and reverse investment strategies in a behavioral finance framework, based on various optimistic, pessimistic and normal market sentiments. At the first step, sentiment Index by means of ARMS Adjusted Trading Index was measured. Then, making use of portfolio analysis, we formed portfolios for 1 month and 3 month periods based on momentum and reverse strategies. Portfolios classification was done based on volatility factor in various behavioral periods. Then returns of different portfolios and strategies was tested by a probit model in different market sentiments (i.e. optimism, pessimism and normal) Finding of the study reveal that in a normal market sentiment, most of behavioral finance strategies has been successful in terms of return. Moreover, reverse strategies have shown higher efficiency in a normal market state, compared to a momentum strategies. It was surprising when we found that both in a pessimistic and optimistic period, not only any excess return was experienced, but also mostly lead to loss. In short term, momentum portfolios produced higher return than reverse ones. Unit root test proved stationary of the sentiment. Since the market was found to be non-stochastic, we conclude stock market inefficiency. We found in a VAR model framework that optimism is a one-way Granger Couse of stock return, furthermore stock return is a one-way Granger Couse of pessimism. Manuscript profile
• Open Access Article
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  2 - Investor sentiment under representativeness heuristic: The case of Tehran Stock Exchange
  Mehdi Rezayati Kazem Chavoshi Mohsen Sohrabi araghi
  Too many researches, in spite of standard finance show that investors are not completely rational and investor sentiment plays a key role in prediction of their behavior. Behavioral finance claims that agents, under the psychological phenomena's, deviate from rational b More

  Too many researches, in spite of standard finance show that investors are not completely rational and investor sentiment plays a key role in prediction of their behavior. Behavioral finance claims that agents, under the psychological phenomena's, deviate from rational behavior. In this research we have investigated the effects of unexpected earnings on investor sentiment, under the representativeness heuristics phenomena. Investor sentiment is measured by ARMS index and the research methodology is based on Granger causality test and also event study. Data's are market and accounting data of Tehran stock exchange listed companies, between the years 2001 to 2013. Results indicate that investor sentiment is predictable by past unexpected earning's. Manuscript profile