In this study, we analyze contrarian and momentum strategies in periods associated with optimism or pessimism, and we compare them to the normal market sentiment condition. We evaluate the
sentiment using the Arms adjusted index. Then, using the vector autoregressive test, we analyze the
relationships among sentiment, stock returns, excess returns, and volatility. The results show that the
formation of a short-term portfolio in one- and three-month periods of optimism and pessimism do
not create additional returns and results in losses. In addition, the outcomes indicate that combining
normal market sentiment with behavioral fiance strategies increases performances, with more signifiant results seen using contrarian strategies compared to momentum strategies.
سايت تخصصي مدیریت مالی و سرمایه گذاری