کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
9550469 | 1372233 | 2005 | 25 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
The success of stock selection strategies in emerging markets: Is it risk or behavioral bias?
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
مدیریت، کسب و کار و حسابداری
کسب و کار و مدیریت بین المللی
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چکیده انگلیسی
We examine competing explanations, based on risk and behavioral models, for the profitability of stock selection strategies in emerging markets. We document that both emerging market risk and global risk factors cannot account for the significant excess returns of selection strategies based on value, momentum and earnings revisions indicators. The findings for value and momentum strategies are consistent with the evidence from developed markets supporting behavioral explanations. In addition, for value stocks, the most important behavioral bias appears to be related to underestimation of long-term growth prospects, as indicated by above average earnings revisions for longer post-formation horizons and by quite rapidly improving earnings growth expectations. Furthermore, we find that overreaction effects play a limited role for the earnings revisions strategy, as there is no clear return reversal until five years after portfolio formation, setting this strategy apart from momentum strategies.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Emerging Markets Review - Volume 6, Issue 3, September 2005, Pages 238-262
Journal: Emerging Markets Review - Volume 6, Issue 3, September 2005, Pages 238-262
نویسندگان
Jaap van der Hart, Gerben de Zwart, Dick van Dijk,