abstract portfolio definition is the most important decision for individuals and legal persons that invest in stock. the main objective of this paper is study and determination of optimal portfolio for stock of active food industrial company in tehran stock based on value at risk (var) index. for this purpose, we used weekly static of stock of active food industrial company in tehran from bahma...

stock return is usually considered to be affected by firm’s financial ratios as well as economic variables. fundamental method assume that stock returns is not solely related to the stock market. most result come from the company condition , industry situation and whole economy. in this paper, this relationship between stock return and fundamentals is studied using the data for 22 pharmaceutica...

50 Most Active Stocks by Trading Value were traded in Indonesian Stock Exchange according to trading transaction value. The value of those stocks was high and volume so big that it has optimal return for investor. performance firms will determine the fluctuation stock price can affect return. purpose this research know influence Return on Equity (ROE), Asset (ROA), Debt Ratio (DER) Earning per ...

in this study, 3 models of time-varying parameters (tvp), dynamic model selection (dms) and dynamic model averaging (dma) and a comparison with the ordinary least squares (ols) method in matlab in the time period 2003-2013 (with data on a monthly basis) are discussed. in the present study, the variables of unofficial exchange rate changes, interest rate changes and inflation in oil price foreca...

a r t i c l e i n f o We examine the role of liquidity risk, both as a stock characteristic as well as systematic liquidity risk, in UK mutual fund performance for the first time. We find that on average UK mutual funds are tilted towards liquid stocks (except for small stock funds as might be expected) but that, counter-intuitively, liquidity rather than illiquidity, as a stock characteristic ...

This paper investigates the relationship between aggregate stock market trading volume and the serial correlation of daily stock returns. For both stock indexes and individual large stocks, the first-order daily return autocorrelation tends to decline with volume. The paper explains this phenomenon using a model in which risk-averse "market makers" accommodate buying or selling pressure from "l...

Order Flow Patterns around Seasoned Equity Offerings and their Implications for Stock Price Movements In this study, we employ order imbalance measures to provide evidence that there exists an individual/institutional dichotomy in reactions to seasoned equity offerings (SEOs). The evidence supports the notion that small, possibly näıve, individual investors keep trading SEO stocks aggressively ...

Previous research suggests that individual investor sentiment has incremental explanatory power for returns of small cap stocks, value stocks, stocks with low institutional ownership, and stocks with lower prices (Kumar and Lee (2003)) and that there is a strong link between institutional sentiment and the returns of large stocks (Brown and Cliff (2004)). With respect to return volatility, Jack...

An asset’s sensitivity to stock market volatility carries a signi…cant risk premium across both equity and …xed income markets. Large-cap and growth stocks have less exposure to volatility risk. Their relatively greater ability to weather volatility surprises, such as those often associated with …nancial crises, accounts for their lower expected returns when compared to small-cap and value stoc...

the aim of this paper is analyzing the role of psychology of numbers in financial markets and in this area, investigates the price clustering phenomenon in trading prices of tehran stock exchange. price clustering is one of anomalies that have been observed in financial markets that representative psychological biases or tendency to specific numbers in the market. this phenomenon includes of de...