مقاله انگلیسی استراتژی های معاملاتی کمی مبتنی بر سقوط: چشم انداز مالی رفتاری

این مقاله علمی پژوهشی (ISI) به زبان انگلیسی از نشریه الزویر مربوط به سال ۲۰۲۱ دارای ۷ صفحه انگلیسی با فرمت PDF می باشد در ادامه این صفحه لینک دانلود رایگان مقاله انگلیسی  موجود می باشد.

کد محصول: H724

سال نشر: ۲۰۲۱

نام ناشر (پایگاه داده): الزویر

نام مجله:   Finance Research Letters

نوع مقاله: علمی پژوهشی (Research articles)

تعداد صفحه انگلیسی: ۷ صفحه PDF

عنوان کامل فارسی:

مقاله انگلیسی ۲۰۲۱ :  استراتژی های معاملاتی کمّی مبتنی بر سقوط(سقوط بازار سهام): چشم انداز مالی رفتاری

عنوان کامل انگلیسی:

Crash-based quantitative trading strategies: Perspective of behavioral finance

برای دانلود رایگان مقاله انگلیسی بر روی دکمه ذیل کلیک نمایید

دانلود رایگان مقاله بیس انگلیسی

وضعیت ترجمه: این مقاله تاکنون ترجمه نشده برای سفارش ترجمه ی مقاله بر روی دکمه ذیل کلیک نمایید (کد مقاله:H724)

ثبت سفارش ترجمه تخصصی در تمامی رشته ها

مقالات مرتبط با این موضوع: برای مشاهده سایر مقالات مرتبط با این موضوع (با ترجمه و بدون ترجمه)  بر روی دکمه ذیل کلیک نمایید

مقالات انگلیسی مرتبط با این موضوع جدید

Abstract

Inspired by the studies on stock market crashes, we use documented indicators from behavioral finance to construct two quantitative trading strategies, i.e., Crash + Timing Strategy and Crash + Momentum-Reversal Strategy. Empirical analyses show that both strategies are effective and robust. Behavioral factors can be beneficial to investors when they are incorporated into their trading strategies.

Keywords: Behavioral finance, Crash factor, Market timing, Momentum-reversal strategy

۱.Introduction

 With the development of the behavioral finance, many scholars seek to explain the causes of stock market crashes using behavioral theories. For instance, Avery and Zemsky (1998) point out that herding can lead to mispricing of assets and price bubbles. Kim et al. (2016) suggest that firms with overconfident CEOs have higher stock price crash risk than other firms. Jang and Kang (2019) find that price crashes could be caused by the overpricing driven by institutional investors. While existing studies focus on exploring the influential factors that may lead to stock market crashes or predicting crash events in stock markets, we investigate how investors can profit from those events.

Based on the aforementioned studies, a price crash can be caused by investors’ cognitive biases, such as herding bias and overconfidence bias. Even though such cognitive biases can result in mispricing of securities, investors may theoretically expect excess returns generated from a stock market crash as long as they rationally use certain behavioral deviations (Conrad et al., 2014; Jang and Kang, 2019; Pelster, 2020). Therefore, it is highly possible to realize excess returns from a stock market crash…

۴.Conclusion

 Inspired by the latest studies on stock market crashes, this paper constructs two quantitative trading strategies and tests their performances. Empirical analyses show that 1) the crash factor cannot directly function as a momentum factor, but when the crash factor combines with an appropriate timing indicator, it could generate excess returns for investors; 2) the momentum factor is useful in a market timing approach; 3) during a volatile market, a momentum-reversal strategy may fail while the CMRS proposed in this paper is still effective.

Unlike previous studies, this article explores quantitative trading strategies from the perspective of behavioral finance, considering the effect from stock market crash, momentum factor, and RSI. This approach provides investors useful trading strategies to potentially exploit behavioral bias in stock markets. However, there is room for future studies to further explore and extend these strategies. First, more studies are needed in the application of those strategies. For instance, potential profits from long-short portfolios in the context of the second strategy can be explored. Second, the construction of the two strategies only takes into consideration the behavior of short term investors. A long-term approach can provide a complete picture and strengthen our understanding of market crash-based trading strategies. Third, we use the market index as the benchmark to measure performance of our trading strategies, but risk-adjusted returns can be used to appropriately account for risks involved in the trading strategies…

مقالات مرتبط با این موضوع

دانلود رایگان مقاله مدیریت مالی

دانلود رایگان مقاله درباره بازارهای مالی

دانلود رایگان مقاله در مورد مالی رفتاری

دانلود رایگان مقاله انگلیسی