این سایت در حال حاضر پشتیبانی نمی شود و امکان دارد داده های نشریات بروز نباشند
Iranian Economic Review، جلد ۲۸، شماره ۳، صفحات ۷۳۰-۷۵۳
عنوان فارسی
چکیده فارسی مقاله
کلیدواژه‌های فارسی مقاله
عنوان انگلیسی The Predictability of Value Premiums in the Tehran Stock Exchange: Evidence Based on the Prior Returns of Value and Glamour Stocks
چکیده انگلیسی مقاله This paper investigates whether the prior returns of value and glamour stocks can predict future value premiums using stocks listed on the Tehran Stock Exchange. In the spirit of Eleswarapu and Reinganum (2004), we focus on the exclusive predictive power of prior returns of style portfolios. We form three sets of value and glamour portfolios based on three different definitions. While we find that value premiums are predictable in both in-sample and out-of-sample tests, this evidence is not the same when using prior returns for each style. Glamour stock returns positively predict future value premiums while value stock returns predict them with a negative coefficient. Thus, we show that the prior underperformance of current value stocks can be a good candidate for predicting value premiums. We also show that this evidence of predictability can be exploited in the form of a style rotation strategy and can beat the buy-and-hold strategy as well as the usual value investing strategies.
کلیدواژه‌های انگلیسی مقاله Predictability,Style Timing,Value premium,Value Investing
نویسندگان مقاله Saeed Samadi |
Faculty of Administrative Science and Economics, University of Isfahan, Iran

Ehsan Mohamadzade |
Faculty of Administrative Science and Economics, University of Isfahan, Iran

Nematolah Akbari |
Faculty of Administrative Science and Economics, University of Isfahan, Iran

Mahmoud Botshekan |
Department of Management, University of Isfahan, Isfahan, Iran

نشانی اینترنتی https://ier.ut.ac.ir/article_99216_12e973ed0baa731b81dddf78ca654110.pdf
فایل مقاله فایلی برای مقاله ذخیره نشده است
کد مقاله (doi)
زبان مقاله منتشر شده en
موضوعات مقاله منتشر شده
نوع مقاله منتشر شده
برگشت به: صفحه اول پایگاه   |   نسخه مرتبط   |   نشریه مرتبط   |   فهرست نشریات