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Kiarash Mehrania
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In this study, we analyze contrarian and momentum strategies in periods associated with optimism or pessimism, and we compare them to the normal market sentiment condition. We evaluate the sentiment using the Arms adjusted index. Then, using the vector autoregressive test, we analyze the relationships among sentiment, stock returns, excess returns, and volatility. The results show that the formation of a short-term portfolio in one- and three-month periods of optimism and pessimism do not create ...
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Tehran: Islamic Azad University, Department of Financial Management, Tehran Science and Research Branch, 2016
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Artikel Jurnal Universitas Indonesia Library
