Al-Najjar, B. (2017). Corporate governance and CEO pay: Evidence from UK Travel and Leisure listed firms. Tourism Management, 60, 9-14.
Alrabadi, D. W. H., & Aljarayesh, N. I. A. (2015). Forecasting Stock Market Returns Via Monte Carlo Simulation: The Case of Amman Stock Exchange. Jordan Journal of Business Administration, 11(3). 745-756.
Andrikopoulos, A., Merika, A. A., & Merikas, A. G. (2016). Financial disclosure in the travel and leisure industry. International Journal of Tourism Research, 18(6), 612-619.
Arshanapalli, B. G., Switzer, L. N., & Panju, K. (2007). Equity-style timing: A multi-style rotation model for the Russell large-cap and small-cap growth and value style indexes. Journal of Asset Management, 8(1), 9-23.
Balvers, R., Wu, Y., & Gilliland, E. (2000). Mean reversion across national stock markets and parametric contrarian investment strategies. The Journal of Finance, 55(2), 745-772.
Balvers, R., & Wu, Y. (2002). Stock Market Integration, Return Forecastability and Implications for Market Efficiency: A Panel Study (No. 112002). Hong Kong Institute for Monetary Research.
Basistha, A., & Kurov, A. (2008). Macroeconomic cycles and the stock market’s reaction to monetary policy. Journal of Banking & Finance, 32(12), 2606-2616.
Bauer, R., Derwall, J., & Molenaar, R. (2004). The real-time predictability of the size and value premium in Japan. Pacific-Basin Finance Journal, 12(5), 503-523.
Bhalla, V. K. (2008). Investment Management. S. Chand Publishing.
Bodie, Z., Kane, A., & Marcus, A. (2003). Investments McGraw-Hill Irwin.
Cave, J., Gupta, K., & Locke, S. (2009). Supply-side investments: An international analysis of the return and risk relationship in the Travel & Leisure sector. Tourism Management, 30(5), 665-673.
Chen, S. S. (2009). Predicting the bear stock market: Macroeconomic variables as leading indicators. Journal of Banking & Finance, 33(2), 211-223.
Chow, K. V., & Hu, O. (2004). Conditional Mean Dominance: Testing for Sufficiency of Anomalies. Department of Economics, West Virginia University Working Papers.
Döpke, J., Hartmann, D., & Pierdzioch, C. (2008). Real-time macroeconomic data and ex ante stock return predictability. International Review of Financial Analysis, 17(2), 274-290.
Jensen, M. C. (1968). The performance of mutual funds in the period 1945–1964. The Journal of finance, 23(2), 389-416..
Gropp, J. (2004). Mean reversion of industry stock returns in the US, 1926–1998. Journal of Empirical Finance, 11(4), 537-551.
Gumanti, T. A. G. A., Savitri, E., Nisa, N. W., & Utami, E. S. (2018). Event Study on the Crash of Airasia Plane: A Study on Travel and Leisure Companies Listed at Malaysian Stock Market. Jurnal Akuntansi dan Keuangan, 20(1), 20-26.
Ioannidis, C., & Kontonikas, A. (2008). The impact of monetary policy on stock prices. Journal of policy modeling, 30(1), 33-53.
Kim, H., & Ryu, D. (2015). Measuring the speed of convergence of stock prices: A nonparametric and nonlinear approach. Economic Modelling, 51, 227-241.
Markowitz, H. (1952). Portfolio Selection. The Journal of Finance, 7(1), 77-91.
Polat, A., Turker, Y., & Kose, H. (2016). Abnormal Returns after Large Increases in Stock Prices. A Comparison between Turkish Sport Index and Turkish Banks. Business, Management and Economics Research, 2(11), 180-185.
Rolph, D. S., & Shen, P. (1999). Do the spreads between the E/P ratio and interest rates contain information on future equity market movements?. Research Division, Federal Reserve Bank of Kansas City.
Sevil, T., & Polat, A. (2015). Macro-economic determinants of travel and leisure sector: A co-integration analysis from Turkey. Res. J. Finan. Account, 6, 213-223.
Sharpe, W. F. (1966). Mutual fund performance. The Journal of business, 39(1), 119-138.
Shen, P. (2003). Market timing strategies that worked. The Journal of Portfolio Management, 29(2), 57-68.
Simon, S. (2002). Momentum effects and mean reversion in real estate securities. Journal of Real Estate Research, 23(1-2), 47-64.
Treynor, J. L. (1965). How to rate management of investment funds. Harvard business review, 43(1), 63-75.
Wu, Y. (2011). Momentum trading, mean reversal and overreaction in Chinese stock market. Review of Quantitative Finance and Accounting, 37(3), 301-323.
- Abstract viewed - 219 times
- PDF (Türkçe) downloaded - 102 times
This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.
© Business & Management Studies: An International Journal, 2019
Dr., Eskişehir Teknik University
Assist. Prof. Dr., Bilecik Şeyh Edebali University
How to Cite
COMPARING PORTFOLIO STRAGIES BASED ON MOMENTUM, MONETARY POLICY AND LARGE PRICE CHANGES: TRAVEL AND LEISURE SECTOR APPLICATION
Vol 7 No 1 (2019): BUSINESS & MANAGEMENT STUDIES: AN INTERNATIONAL JOURNAL
Submitted: Mar 19, 2019
Published: Mar 19, 2019
The travel and leisure sector is examined specifically in the area of finance due to its characteristics. Stock market investments in the travel and leisure sector depends on the highest return at the specific risk level. Investments in the stock market will increase sector's economic growth and employment. The purpose of the study is to compare the performance of different strategies in travel and leisure sector of Turkey. In this study, portfolio switching strategies based on momentum, monetary policy changes and signals of large price changes are examined. Comparisons are made according to the Treynor, Sharpe and Jensen performance measurement criteria. Findings show that active portfolio strategies can be more successful than conventional buy and hold investments. The strategy based on large price changes shows the most successful performance when the other alternatives compared.