Pasandideh Parsa, Bahram; Darabi, Roya; Najafi Moghadam, Ali

doi:10.22034/iaar.2025.498391.1809

"Acquisition Excess Returns Using Quantitative Trading Strategies Whit Proper Timing Based on the Price Crash Factor in the Stock Market: Perspective of Behavioral Finance"

Articles in Press

Document Type : Original Article

Authors

Bahram Pasandideh Parsa

Roya Darabi

Ali Najafi Moghadam

Department of Accounting, ST.C, Islamic Azad University, Tehran, Iran

10.22034/iaar.2025.498391.1809

Abstract

The main hypothesis of this research is to obtain excess returns using quantitative trading strategies with appropriate timing based on the factor of price collapse in the stock market, with a behavioral finance perspective in companies listed on the Tehran Stock Exchange and tested its effectiveness. The present study is classified as a descriptive (non-experimental) and correlational research of the type of multivariate regression analysis, and the results of the research hypotheses are based on information collected from the financial statements of companies listed on the Tehran Stock Exchange and related to 102 companies on a monthly basis for seven consecutive years from 2019 to 2025. Among them, 61 companies that experienced at least one collapse and had a weighted index (RSI) equal to or less than 30 were selected and analyzed as a buy signal, taking into account the factor of the collapse in the current month and the previous month. And to summarize the data, information and calculate the research variables, Stata software was used. The results obtained from testing the research hypotheses indicate that excess returns are obtained from applying quantitative trading strategies (CTS) with respect to the behavioral financial perspective of investors in all five sub-hypotheses and consequently the main hypothesis of the research was confirmed, however, the use of the weighted index strategy (RSI) in the short-term return of holding and selling the desired stocks on the Tehran Stock Exchange was found to be insufficient in the first sub-hypothesis.

Keywords

Market Timing"

Crash Factor"

Excess Returns"

, "

Quantitative Trading Strategies"

and "

Behavioral Finance"

Subjects