Study of the CoAnomaly in Tehran Stock Exchange
سال انتشار: 1402
نوع سند: مقاله ژورنالی
زبان: انگلیسی
مشاهده: 94
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شناسه ملی سند علمی:
JR_IJFMA-8-29_017
تاریخ نمایه سازی: 18 دی 1401
چکیده مقاله:
Anomaly correlation is among the essential topics that must be paid attention to in investment. Given the investment portfolio, the return is considered to be more than the expected return, and the premium risk of portfolio components, and portfolio components, and the correlation between portfolio components are investigated so that one can eventually achieve the optimal portfolio. The present study investigates the CoAnomaly in Tehran Stock Exchange. For this purpose, a simple measure of time series risk was presented as CoAnomaly (anomaly correlation) for stock market trade anomalies. This measure is the mean time-varying made up of ۱۲ anomalies. Since the correlation between the underlying assets determines the portfolio variance, CoAnomaly is an important state variable for arbitrators that have a diverse anomaly portfolio to enhance performance. The information and data required in this study were obtained from the information on the firms listed in Tehran Stock Exchange over ۲۰۱۱-۲۰۲۰. Empirically, We show that, CoAnomaly is persistent and forecasts long-run aggregate volatility of the diversified anomaly portfolio. CoAnomaly positively predicts future average anomaly returns in the time series. On the other hand, results revealed that an increase in the CoAnomaly increases anomaly variance over the short term and long term.
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نویسندگان
Vahid Faezinia
Ph.D. Student in Financial Engineering, Islamic Azad University, Yazd Branch,
Hamid Khajeh Mahmoudabadi
Assistant Professor, Department of Finance, Faculty of Management, Economics and Accounting, Islamic Azad University, Yazd Branch,
Gholamreza Askarzadeh Darreh
Assistant Professor, Department of Finance, Faculty of Management, Economics and Accounting, Islamic Azad University, Yazd Branch,
Seyyed Yahya Abtahi
Assistant Professor, Department of Finance, Faculty of Management, Economics and Accounting, Islamic Azad University, Yazd Branch,
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