PL EN


2012 | 1 | 40-57
Article title

Strategie prognostyczne a preferencja ryzyka u inwestorów giełdowych

Content
Title variants
EN
Forecasting strategies and propensity towards risk among stock market investors
Languages of publication
PL
Abstracts
PL
Poniższy artykuł sprawdza efektywność popularnych strategii prognostycznych: momentum i kontrariańskiej. Badania przeprowadzono na poziomie indywidualnym (mierząc skłonność każdego inwestora do stosowania danej strategii), osobno dla strategii stosowanych podczas składania zleceń kupna (otwierania pozycji długiej) oraz sprzedaży (zamykania pozycji długiej). Uzyskane wyniki wskazują, że strategia momentum jest bardziej efektywna niż strategia kontrariańska stosowana podczas zleceń kupna, dając wyższą stopę zwrotu przy mniejszym ryzyku. Wykazano również, że wraz ze wzrostem tendencji do stosowania strategii kontrariańskiej rośnie u inwestorów preferencja ryzyka, przy czym podczas otwierania pozycji związek ten dotyczy ekonometrycznych miar preferencji ryzyka (VAR), a podczas zamykania – miar psychologicznych. Zróżnicowanie to stanowi dodatkowy argument w dyskursie poświęconym odmienności psychologicznych procesów związanych z otwieraniem i zamykaniem pozycji.
This study tests the effectiveness of two popular investment strategies: momentum and contrarian. The research was conducted on an individual level, separately for buying (opening investment positions) and selling (closing investment positions). The results confirmed that a momentum investment strategy is more effective than a contrarian one for position opening; it brings higher return with a lower risk. It has been also shown that, along with the growth of the tendency to use a contrarian strategy, the propensity towards risk increases, but significant results are obtained by econometric measures of risk (VaR) while position opening and by psychological measures of risk while position closing. This result is an additional argument in the discourse, that pertains to the differences between processes of opening and closing investment position.
Year
Issue
1
Pages
40-57
Physical description
Contributors
  • Katedra Rynków Finansowych, Uniwersytet Ekonomiczny w Krakowie, ul. Rakowicka 27, 31-510 Kraków
  • Katedra Psychologii Ekonomicznej, Akademia Leona Koźmińskiego, ul. Jagiellońska 57/59, 03-301 Warszawa
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Notes
PL
Badanie sfinansowane dzięki środkom z grantu N N113 308338
Document Type
Publication order reference
Identifiers
YADDA identifier
bwmeta1.element.desklight-d56fd617-f11e-4939-8d3e-996836f03262
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