Past price changes, trading volume and prediction of portfolio returns

Abstract

2015),"Perishable food supply chain quality (PFSCQ): A structured review and implications for future research"If you would like to write for this, or any other Emerald publication, then please use our Emerald for Authors service information about how to choose which publication to write for and submission guidelines are available for all. Please visit www.emeraldinsight.com/authors for more information. About Emerald www.emeraldinsight.comEmerald is a global publisher linking research and practice to the benefit of society. The company manages a portfolio of more than 290 journals and over 2,350 books and book series volumes, as well as providing an extensive range of online products and additional customer resources and services.Emerald is both COUNTER 4 and TRANSFER compliant. The organization is a partner of the Committee on Publication Ethics (COPE) and also works with Portico and the LOCKSS initiative for digital archive preservation. AbstractPurpose -The purpose of this paper is to evaluate the profitability of investment strategies based on past price changes and trading volumes. Design/methodology/approach -Data are employed from January 1998 to December 2011 for select emerging markets. Portfolios are formed on the basis of past information on prices and/or volumes. Unrestricted and risk adjusted returns for sample portfolios are analyzed. The risk models employed in study are Capital Asset Pricing Model (CAPM), Fama-French (F-F) Model and Fama-French augmented models. Findings -Price momentum patterns are observed for Brazil, India, South Africa and South Korea, while there are reversals in Indonesia and China. Low-volume stocks outperform high-volume stocks for all sample countries except China. Further, volume and price based bivariate strategies do a better job than univariate strategies in case of India, South Africa and South Korea. The past price and volume patterns in stock returns are not fully explained by CAPM as well as the F-F Model. Price and volume momentum factors do play a role in explaining some of these return patterns. Finally, the unexplained returns seem to be an outcome of investor under or overreaction to past information. The sources of price and volume momentum seem to be partly risk based and partly behavioral. Originality/value -The study analyzes combined role of price and volume in portfolio formation with post holding analysis. The work is useful for global portfolio managers, policy makers, market regulators and the academic community. The study contributes to asset pricing and behavioral finance literature for emerging markets.

Profitability of Style based Investment Strategies: Evidence from India

“…Nor, 2006). Sehgal, Subramaniam and Morandiere(2012) and Sehgal and Vasishth (2015) confirm the presence of liquidity anomaly for the Indian stock market.…”

Examination and Modification of Multi-Factor Model in Explaining Stock Excess Return with Hybrid Approach in Empirical Study of Chinese Stock Market

“…Also, the model fails to capture the low average return for small firms with low profitability and high investment. Sehgal and Vasishth (2015) tested the model in various emerging markets and discovered that the change of price and trading volume are partly risk based and partly behavioral. The research indicated that behavioral factors are necessary in the study of the multi-factor model.…”

PENGARUH VOLUME PERDAGANGAN TERHADAP VOLATILITAS (Studi pada Bursa Efek Indonesia dan New York Stock Exchange)

“…Eratnya hubungan ini dapat menggambarkan pengembalian dan risiko yang terjadi. Faktor harga dan volume memang berperan dalam menjelaskan beberapa pola pengembalian (Sehgal dan Vasishth, 2015).Temuan ini didukung juga oleh hasil penelitian Azuradkk. (2018) bahwa terdapat beberapa faktor yang dapat memengaruhi volatilitas, salah satunya volume perdagangan di pasar.…”