مدى فعالية الاستراتيجيات النشطة في إدارة المحافظ الاستثمارية: دراسة تطبيقية على سوق الأسهم المصري

Abstract EN

This study investigates the effectiveness of momentum and contrarian strategies in the Egyptian stock market from January 2004 to December 2018.

the study finds the presence of the contrarian effect across short horizons.

in addition, the findings indicate that contrarian strategies are profitable for different investment horizons.

the profits of portfolios depend on the formation and holding horizons.

the study also creates sub-sets of portfolios on the basis of stock characteristics, such as book-to-market, size, profitability, and investment.

to address the risk issue, the five-factor model of Fama and French (2017) was used to estimate the contrarian profits, tests of the five-factor model focus on the intercept (alpha), which, if profits are due to risks, should be indistinguishable from zero.

the study find evidence that alpha is statistically different from zero in most cases, suggesting that there is no evidence of any risk factors.

the study recommends that investors should take into consideration the contrarian strategies when managing their investment portfolio.