What is it about?
The purpose of this paper is to present a new strategy of portfolio selection. After making a comparative survey of different strategies of portfolio selection adopted by portfolio managers in Tunisia, the paper proposes a new strategy, which it calls weighted overreaction strategy. This strategy consists in over‐weighting the stocks having bad performances in the past.
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Why is it important?
The new proposed strategy turned out to be more performing than size, PER, and overreaction strategies in the Tunisian stock market via a mean equality test. Those who adopt it should create a loser portfolio and should sell it at a later period (12 months) and generate average annual returns of 241.75 percent.
Perspectives
The weighted overreaction strategy generated a considerable gain compared to other portfolios.
Professor Mohamed Ali Trabelsi
Faculty of Economics and Management of Tunis, University of Tunis El Manar
Read the Original
This page is a summary of: Overreaction and portfolio‐selection strategies in the Tunisian stock market, The Journal of Risk Finance, May 2010, Emerald,
DOI: 10.1108/15265941011043675.
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