List of Articles Contrarian

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  1 - Fundamental Information in Technical Trading Strategies through a Combination of Operating cash flow with Contrarian and Momentum
  Aminallah Makkipour Mohsen Dastgir
  Technical trading strategies assume that past price trends predict future ones. Their application may be profitable if the past trend reflects fundamental information that has not yet been fully priced. However, if the trend merely reflects temporary pricing pressures, More

  Technical trading strategies assume that past price trends predict future ones. Their application may be profitable if the past trend reflects fundamental information that has not yet been fully priced. However, if the trend merely reflects temporary pricing pressures, technical trading will presumably fail. We argue that using financial statements as an additional source of information helps to avoid such failure. We implement a trading strategy that uses operating cash flows to identify enduring past price upturns and composite with momentum and contrarian strategy. In this study, using panel data, the impact of technical and fundamental strategies independently and in combination on stock returns 90 companies listed in the Tehran Stock Exchange, in the period 1387 to 1392 were studied. For this purpose, the stock return as dependent variable and momentum, reverse and operating cash flow are considered as independent variables. The results show that due to the timing and strategies have been used to form portfolios, hybrid strategy is best returns. Manuscript profile
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  2 - The Study Of The beneficially Contrarian Investment Strategy To Gain The Return And Analyze Sensitivity Of Financial Indicators By Using Tukey Test In Tehran Stock Exchange
  محمود معین الدین شهناز نایب زاده رسول زارع مهرجردی علی فاضل یزدی
  In capital markets and behavioral finance literature, according to the different reactionof investors and in order to increase the return of capital and earn returns in excess of theexpected return, different investment strategies are presented. Contrarian InvestmentStr More

  In capital markets and behavioral finance literature, according to the different reactionof investors and in order to increase the return of capital and earn returns in excess of theexpected return, different investment strategies are presented. Contrarian InvestmentStrategy is one of these strategies, this strategy is based on the hypothesis of investor'soverreaction. However, knowing how to use contrarian investment strategy can helpinvestors to choose the appropriate stock in order to achieve maximum return. Thisresearch examines gain return by using contrarian investment strategy and analyzesSensitivity of Financial indicators in Tehran Stock Exchange. In order to conductresearch, first the period of research was divided into 16 establishment and test periodsand in establishment period, based on 11 research variables (Sale, Operating profit,Operating Cash Flow, Stock returns, the ratio of Sales to assets ratio, the ratio ofoperating profit to investment, the ratio of operating cash flow to investment, Return onassets, Return on equity, Earnings per share and The ratio of net profit to sales), thecompanies divided to two portfolio winners and losers, and then in test period, the winnerand loser portfolio return was calculated and compared. The results of researchhypotheses Show that by using Contrarian Investment Strategy, additional return can begained in Tehran Stock Exchange and also investors in each different period ofestablishment and test, show overreaction towards certain variables. Manuscript profile
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  3 - Introduction a conceptual model of the effective factors of contrarian trading strategy in the formation of a profitable portfolio using the Grounded theory
  Ebrahim Qashqai Allah Karam Salehi Ali Mahmoodirad
  10.30495/jfksa.2023.23080
  Creating a profitable investment portfolio is an important issue for market investors. Contrary to the efficient market hypothesis, excess returns are likely to be achieved if the investment strategy is chosen appropriately. The main purpose of this study is to provide More

  Creating a profitable investment portfolio is an important issue for market investors. Contrary to the efficient market hypothesis, excess returns are likely to be achieved if the investment strategy is chosen appropriately. The main purpose of this study is to provide a conceptual model of the effective factors of contrarian trading strategy in the formation of a profitable portfolio using the Grounded theory in the Iran capital market. Data collected through interviews with 12 university experts who selected by theoretical sampling method using snowball technique. The results using the Grounded theory suggest that the investors characteristics of the causal type, macroeconomic factors, capital market factors, corporate factors and managerial factors of the intervening type, market constraints and regulatory processes of the contextual type, published news and financial statement features of the strategy type and stock returns and market performance criteria of the consequence type that are effective in forming a profitable portfolio in the stock market. Manuscript profile
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  4 - Investigating the Role of Investor Types in the Formation of Behavioral Bubbles in Tehran Stock Exchange Using Vector Autoregressive Model
  Mohammadreza Mehrbanpour Bahareh Ezabadi Shahab Jafakesh Kanafgurabi
  Behavioral bubble models generally assume that individual investors as uninformed and irrational participants are trend chasers who can generate the bubble. On the contrary, institutional investors as informed group behave against the trend adopting a contrarian strateg More

  Behavioral bubble models generally assume that individual investors as uninformed and irrational participants are trend chasers who can generate the bubble. On the contrary, institutional investors as informed group behave against the trend adopting a contrarian strategy. In order to test the above mentioned assumption, the present study considers behavioral models of the two groups of individual and institutional investors of 202 non-financial corporations in the Tehran Stock Exchange during the years of 1391 to 1394 using a Vector Auto-regressive model on a daily basis. The results confirm the assumption which mentioned that Individual investors are the agent of bubbles and institutional investors adopt contrarian strategy and trade against the trend. However, investigation of trades during the uptrend and downtrend of Tehran Stock Exchange suggests the stability of the behavioral pattern of both groups, so that the individual investors often underlie the bubble formation in the stock of small sized corporations. Manuscript profile
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  5 - Profitability of Momentum and Contrarian Strategies Based on Trading Volume in Tehran Stock Exchange: A Comparison of Emerging Market
  Mahmood Yahyazadehfar Shahabeddin shams Saeideh Lorestani
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  6 - Contratum dominance over momentum and reverse: Evidence from the Iranian capital market
  ali timori ashtiani mohsen hamidian seyedeh mahboobeh jafari
  Abstract: The purpose of this study is to investigate the possibility of combining the ranking period and the maintenance period of classical momentum and contrarian strategies and evaluate the performance of portfolios resulting from hybrid strategies in comparison wit More

  Abstract: The purpose of this study is to investigate the possibility of combining the ranking period and the maintenance period of classical momentum and contrarian strategies and evaluate the performance of portfolios resulting from hybrid strategies in comparison with classical strategies. For this purpose, using the information of 120 companies in the period 2011 to 2020, the amount of excess return, the explanatory power of excess return by the risk factors of the seven-factor model Fama and French and the explanatory power of future return by excess return of hybid strategy and classical strategy are evaluated and compared.The results show that contratum (contractionary hybrid) strategy, which rank like contrarian strategies in the long run but are maintained in the medium term like momentum strategies, perform better than momentum and contrarin strategies. In addition, even after controlling risk factors (Fama and French seven-factor model), contratum, contrarian and momentum investment strategies in the Iranian capital market are profitable. Finally, the results of the present study support the explanatory power and more predictive power of the excess return of the contratum strategy than the classical strategies for future returns. Therefore, the contribution of the present study is to provide evidence of excess return and performance of the new hybrid strategy is much higher than the classic investment strategies proven in the Iran capital market. Manuscript profile
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  7 - The Impact of Ownership Structure and Strategy Change on Stock Price Fluctuations with Emphasis on the Modulatory Effectiveness of Investment Information and Investment Returns
  Mohamad ali Sadeghi lafmejani javad ramezani
  This study aimed to explain the effect of adjusting information productivity and return on investment on ownership structure and strategy change with stock price volatility in Tehran Stock Exchange.In this study, the hypotheses were tested using multivariate linear regr More

  This study aimed to explain the effect of adjusting information productivity and return on investment on ownership structure and strategy change with stock price volatility in Tehran Stock Exchange.In this study, the hypotheses were tested using multivariate linear regression model and econometric models.The results indicate that optimization of the property structure and the additional returns resulting from the use of acceleration and reversal strategies will have a positive and direct impact on stock price fluctuations. Increasing information efficiency (total return on a daily basis) will reduce variables related to ownership structure and stock price fluctuations, whereas the type of investment will not affect the relationship. Also, despite the unexpected effect that the surplus of strategy change will have on stock price fluctuations, information efficiency and investment returns will not be affected by this relationship. Manuscript profile
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  8 - Capital market anomalies and Portfolio – selection Strategies in the Tehran stock market
  Shahnaz Nayebzade Qodsiyeh Mahmoudi Kohani
  There are numerous studies concerning market anomalies and capital market inefficiencies. The existing evidences challenge the efficient market hypothesis and declare that investors overprice the winners’ stocks while the losers’ are under-priced. This defic More

  There are numerous studies concerning market anomalies and capital market inefficiencies. The existing evidences challenge the efficient market hypothesis and declare that investors overprice the winners’ stocks while the losers’ are under-priced. This deficiency will be discovered by the market after a few times and there will be a balance then. The purpose of this paper is to present a new strategy of portfolio selection. This study is an applied research and covers eight years (1382-1389) of 60 firms listed on Tehran Stock Exchange. The findings reveal that the higher the stock prices of the firms with higher (lower) abnormal accumulated return, the higher (lower) they are priced and finally their return in long-term will be lower (higher). Considering this issue leads to the profitability of the portfolio. Manuscript profile
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  9 - Price Limit Effects on Stock Prices Behavior: A Contrarian Investment Strategy Approach
  Hamid Reza Vakili fard Jalal Seifoddini Arash Abjadpour Hossein Maghsoud
  Price limit is a kind of circuit breaker which is used in developing stock exchanges and futures markets to prevent extreme price volatility, price manipulation, and financial crashes. Generally speaking, researchers and market participant usually disagree about price More

  Price limit is a kind of circuit breaker which is used in developing stock exchanges and futures markets to prevent extreme price volatility, price manipulation, and financial crashes. Generally speaking, researchers and market participant usually disagree about price limit application, its efficiency, and optimum range. Pros believe although price limit may delay price discovery, it prevents extreme price volatility and overreaction. On the other hand, cons assert that price limit causes price volatility spillover and intensify investor’s overreaction. Since there is no consensus over the price limit application and efficiency, it is recommended to study this issue using different methods. Therefore, we are trying to study price limit effects in Tehran Stock Exchange using Contrarian Investment Strategy. Our results show that price limit application in Tehran Stock Exchange delays price discovery but has nothing to do with investor’s overreaction. Consequently, it seems that regulators have prevented extreme volatility, although this constraint delays price discovery and reduces market efficiency. Manuscript profile
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  10 - Jump Identification as a Proxy of Information Shocks, In Tehran Stock Exchange.
  Hadis Taghaddosi Farimah Mokhatab Rafiei Ali Husseinzadeh Kashan
  Using jumps in stock prices as a proxy for information shocks to examine investors' reactions to significant events is the most effective method for identifying information shocks. Compared to other studies, this method has advantages listed at the end of the liter More

  Using jumps in stock prices as a proxy for information shocks to examine investors' reactions to significant events is the most effective method for identifying information shocks. Compared to other studies, this method has advantages listed at the end of the literature review. We provide evidence consistent with short-term overreaction on the Tehran Stock Exchange. Thus, through the contrarian investment strategy, i.e., buying stocks with negative lagged jump returns and selling those with positive lagged jump returns, earn significantly positive returns over the next one- to three-month horizons. This research analyzed the adjusted daily closing prices of the top thirty stocks on the Tehran Stock Exchange in terms of market value and turnover during 2013-2020. Manuscript profile
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  11 - Portfolio Optimization and the Momentum- Contrarian Strategy (MCS)- Based Performance: Evidence from Tehran Stock Exchange
  Homayun Soltanzadeh Reza Keykhaei Abdolmajid Abdolbaghi Ataabadi Mohammad Hosein Arman
  10.30495/jsm.2022.1966975.1685
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  12 - Explain the moderating role of the investment horizon on excess returns from Implementation of the Momentum& Contrarian strategy changing in stock price volatilities
  Mohammad ali Sadeghi lafmejani javad ramezani mehdi khalilpour
  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 More

  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. Manuscript profile
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  13 - Investigating the contrarian trading strategy performance in the Tehran stock exchange based on the firm's risk criteria
  Ebrahim Qashqai Allah Karam Salehi ali mahmoodirad
  10.30495/afi.2023.1972605.1172
  Purpose: In traditional financial theory, the efficient market hypothesis states that market efficiency prevails in every stock exchange. However, evidence of market anomalies such as momentum effect and reversal effect exists. The aim of this study is to examine the pe More

  Purpose: In traditional financial theory, the efficient market hypothesis states that market efficiency prevails in every stock exchange. However, evidence of market anomalies such as momentum effect and reversal effect exists. The aim of this study is to examine the performance of the reverse trading strategy under risk measures. To achieve this objective, four hypotheses were proposed.Methodology: This research employs a descriptive correlational method. The population of the study consists of all listed companies in the Tehran Stock Exchange during the period from 2013 to 2020. A systematic sampling technique was used to select a sample of 118 companies. Reverse profit is considered as the dependent variable, while systematic risk, liquidity risk, credit risk, and financial leverage are considered as explanatory variables.Findings: The findings indicate that systematic risk has a positive effect on reverse profit in all holding and formation periods. Liquidity risk does not have a significant impact on reverse profit. Credit risk and financial leverage have a positive effect on reverse profit. Furthermore, the results show that the influence of systematic risk, credit risk, and financial leverage on reverse profit is greater in the 24-month period compared to the 12-month and 36-month periods.Originality / Value: The results of this study provide valuable insights for portfolio investors and managers to consider company risks when investing through the reverse trading strategy. Additionally, market participants should focus on high levels of systematic risk, credit risk, and financial leverage when utilizing the reverse trading strategy, as these risk dimensions present opportunities for them to achieve extraordinary returns. Manuscript profile