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Kirjallisuusarvostelu

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Kirjallisuusarvostelu

The Anchoring Bias of Investors and the 52-Week High Momentum Strategy in the OMX Helsinki Stock Exchange: Psychological Approach to Market Efficiency

The behavioural finance literature expects systematic and significant deviations from efficiency to persist in securities markets due to behavioural and cognitive biases of investors. These behavioural models attempt to explain the coexistence of intermediate-term momentum and long-term reversals in stock returns based on the systematic violations of rational behaviour of investors. The study investigates the anchoring bias of investors and the profitability of the 52-week momentum strategy (GH henceforward). The relatively highly volatile OMX Helsinki stock exchange is a suitable market for examining the momentum effect, since international investors tend to realise their positions first from the furthest security markets by the time of market turbulence. Empirical data is collected from Thomson Reuters Datastream and the OMX Nordic website. The objective of the study is to provide a throughout research by formulating a self-financing GH momentum portfolio. First, the seasonality of the strategy is examined by taking the January effect into account and researching abnormal returns in long-term. The results indicate that the GH strategy is subject to significantly negative revenues in January, but the strategy is not prone to reversals in long-term. Then the predictive proxies of momentum returns are investigated in terms of acquisition prices and 52-week high statistics as anchors. The results show that the acquisition prices do not have explanatory power over the GH strategy’s abnormal returns. Finally, the efficacy of the GH strategy is examined after taking transaction costs into account, finding that the robust abnormal returns remain statistically significant despite the transaction costs. As a conclusion, the relative distance between a stock’s current price and its 52-week high statistic explains the profits of momentum investing to a high degree. The results indicate that intermediateterm momentum and long-term reversals are separate phenomena. This presents a challenge to current behavioural theories, which model these aspects of stock returns as subsequent components of how securities markets respond to relevant information.

Welcome to Helsinki

Presentation at Open Repositories 2013 in Charlottetown, PEI in Canada.

Latvialaisen kokoelman (1820-1917) luettelo. 1-4. Helsinki 1978-1981.

Lettonica kokoelma sisältää vapaakappaleina saadun, Venäjän keisarikunnan alueella vuosien 1828-1917 välillä painetun latviankielisen kirjallisuuden. Kokoelman laajuus on runsaat 10 000 nimekettä, josta kirjoja on 7 200. Kirjakokoelma sisältää kaunokirjallisuutta, lastenkirjoja, luonnontieteellistä ja humanistista kirjallisuutta sekä hengellistä kirjallisuutta. Sanoma- ja aikakauslehtiä kokoelmassa on noin 200 nimekettä. Kokoelmassa on suuri määrä pienpainatteita.