Market State and Investment Strategies: Evidence from the Indian Stock Market

Maheshwari, Supriya; Dhankar, Raj S.

doi:10.1177/2277975218769501

Cited by 2 publications

(2 citation statements)

References 49 publications

(91 reference statements)

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“…One of the most important determinants of cash holding is the sales growth rate, since firms with high investment opportunities have a greater degree of uncertainty in achieving future cash flows, in addition to information asymmetry, and therefore may keep more cash holding to ensure the firm's ability to finance future investments when the internal cash flow is low (Kim, Firm size is an important factor in determining the level of cash holding. Some of the literature argued that there is a negative relationship between firm size and cash holding, since small-sized firms are more exposed to irregular risks and borrowing restrictions, and then managers tend to maintain a higher level of cash holding to meet these restrictions and risks (Maheshwari et al, 2018).…”

Section: Literature Reviewmentioning

confidence: 99%

The impact of cash holding on stock returns in small and medium enterprises on the Egyptian Nile Stock Exchange

Rashed

Ghoniem

2022

Investment Management and Financial Innovations

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This paper explores the impact of cash holdings on stock returns in small and medium enterprises. The sample includes 24 SMEs listed on the Egyptian Nile Exchange, excluding service firms, with a total of 96 observations from 2016 to 2019. Data was collected from financial statements and reports obtained through an information dissemination company in Egypt. This study uses a panel data analysis with comparing all results via ordinary least squares and the generalized method of moments. The findings show a statistically significant negative effect of cash holding on stock returns in small and medium enterprises on the Egyptian Nile Exchange. Further, the evidence shows that firms with higher levels of cash holding have higher investment alternatives and then lower stock returns. This result supports the agency theory that an increase in cash holding leads to managers exploiting cash resources to achieve personal benefits, thus increasing agency costs, lowering investment efficiency, and therefore lowering stock returns. The results support the trade-off between risk and return by using cash holding to finance operational activities and investing in higher investment alternatives and then lower stock returns.

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Section: Literature Reviewmentioning

confidence: 99%

The impact of cash holding on stock returns in small and medium enterprises on the Egyptian Nile Stock Exchange

Rashed

Ghoniem

2022

Investment Management and Financial Innovations

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“…On top of these observations, various studies [8][9][10][11][12] have been trying to explain the mechanisms behind the effects. For instance, Reference [8] showed that the momentum effect may be correlated to the past trading volume.…”

Section: Introductionmentioning

confidence: 99%

A Machine Learning View on Momentum and Reversal Trading

Li¹,

Tam²

2018

Algorithms

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Momentum and reversal effects are important phenomena in stock markets. In academia, relevant studies have been conducted for years. Researchers have attempted to analyze these phenomena using statistical methods and to give some plausible explanations. However, those explanations are sometimes unconvincing. Furthermore, it is very difficult to transfer the findings of these studies to real-world investment trading strategies due to the lack of predictive ability. This paper represents the first attempt to adopt machine learning techniques for investigating the momentum and reversal effects occurring in any stock market. In the study, various machine learning techniques, including the Decision Tree (DT), Support Vector Machine (SVM), Multilayer Perceptron Neural Network (MLP), and Long Short-Term Memory Neural Network (LSTM) were explored and compared carefully. Several models built on these machine learning approaches were used to predict the momentum or reversal effect on the stock market of mainland China, thus allowing investors to build corresponding trading strategies. The experimental results demonstrated that these machine learning approaches, especially the SVM, are beneficial for capturing the relevant momentum and reversal effects, and possibly building profitable trading strategies. Moreover, we propose the corresponding trading strategies in terms of market states to acquire the best investment returns.

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Market State and Investment Strategies: Evidence from the Indian Stock Market

Cited by 2 publications

References 49 publications

The impact of cash holding on stock returns in small and medium enterprises on the Egyptian Nile Stock Exchange

The impact of cash holding on stock returns in small and medium enterprises on the Egyptian Nile Stock Exchange

A Machine Learning View on Momentum and Reversal Trading

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