List of Articles Extreme Market Movement

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  1 - A Performance Evaluation of Black Swan Strategy
  Seyed Jalal Sadeqi Sharif Mohammad Osolian Mandana Abolfathi
  The identification of price patterns in inefficient markets and the market with distribution of abnormal returns on the market index, is one of the most important factors of earning return commensurate with the risk.In this regard, when the unexpected and extreme market More

  The identification of price patterns in inefficient markets and the market with distribution of abnormal returns on the market index, is one of the most important factors of earning return commensurate with the risk.In this regard, when the unexpected and extreme market fluctuations happen or so-called black swan events, by forming the portfolio at the correct times can gain higher return than market.The main objective of this article consist of analysis of portfolio performance that forming by black sawn strategy than market portfolio, based on using measures of risk and return in the market with black sawn events. The sample included 83 companies from 10 different industry of Tehran stock exchange, which traded from March 1383 to December 1393. The data were collected monthly.The results show that Tehran Stock Exchange has black swan events that the volatility is ± 4.22 percent. The portfolios formed on the basis of a black swan strategy to market index portfolio, despite limitations of the market, observed better performance. Manuscript profile