The Relationship between Winners and Losses of Portfolios based on Stockholding Rates by Institutional Investors with Momentum and Reverse Profits
Message:
Abstract:
Several studies have proved that different short-term, mid-term, and long-run horizons of stock returns have different performance. Two important and useful strategies among analysts, portfolio managers and other investors in the current capital markets are the reverse strategy and momentum strategy. In both of these strategies, which are exactly the opposite of each other, they try to predict future performance and generate additional returns using past performance. The main purpose of this research is to determine the effect of the average difference between the return on the portfolio of disadvantaged and disadvantaged people based on stockholding rates by institutional investors with momentum and reverse earnings. The statistical population is the companies accepted in the Tehran Stock Exchange and the research data are from 2009 to 2015 and For testing the hypothesis, correlation and regression have been used. The results showed that the returns of the winning portfolio with the returns of the losers portfolio are not related to the effect of the holding ratio of the institutional shareholders with the momentum gains. Therefore, there is a meaningful relationship between the returns of the winners and losers portfolio based on the ratio of holding institutional investors with reverse profits in the one-month and quarterly periods. Therefore, the stock holdings ratio by institutional shareholders in the short run is an effective factor in determining changes in momentum and inverse returns. This means that the proportion of stockholding by stockholders can lead to a deficit / surplus of supply and increase / decrease in prices, and, conversely, the ratio of low stockholding by stockholders causes surpluses / supply shortages and decreases / increases in prices.
Article Type:
Research/Original Article
Language:
Persian
Published:
Journal of Investment Knowledge, Volume:7 Issue:28, 2018
Pages:
297 - 312
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