Contrarian Strategy Risks on the Warsaw Stock Exchange

• Autorzy: Tadeusz Winkler-Drews

Warianty tytułu

Ryzyko strategii contrarian na GPW w Warszawie

• Języki publikacji: EN

Abstrakty

W pracy opisano wyniki badania ryzyka strategii contrarian na GPW w Warszawie w latach 2003-2013. Stosując metodę overlapping dla sześcioletnich okresów, skonstruowano elastyczne portfele. Zmiany wartości współczynników beta pozwoliły oszacować ryzyko strategii contrarian(abstrakt oryginalny)

EN

Selling winners stocks and simultaneously buying losers stocks constitute the core of contrarian strategies. The author investigates risks of contrarian investments strategies in Warsaw Stock Exchange. Winners and losers stocks are identified on the basis of monthly trading volume and return features. Overlapping six years periods method was used for building portfolios at yearly intervals, guaranteeing their elasticity. Contrarian portfolio risk was evaluated with time-varying beta coefficients values. The contrarian portfolios had leverage induced risk in Warsaw Stock Exchange between 2003-2013(original abstract)

Słowa kluczowe

PL

Wolumen obrotu; Rynek kapitałowy; Giełda papierów wartościowych; Strategia inwestycyjna

EN

Trading volume; Capital market; Stock market; Investment strategy

• Czasopismo: Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu
• Rocznik: 2015
• Numer: nr 381 Financial Investments and Insurance - Global Trends and the Polish Market
• Strony: 483-495

Twórcy

autor

Tadeusz Winkler-Drews

• Kozminski University, Warsaw, Poland

Bibliografia

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Identyfikatory

DOI

10.15611/pn.2015.381.35