INVESTIGATING PROFITABILITY OF MOMENTUM AND CONTRARIAN STRATEGIES IN TEHRAN STOCK EXCHANGE

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SINAEI HASSAN ALI; AZHDARPOOR LEILA

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Paper Information

Journal: FINANCIAL ACCOUNTING Year:2014 | Volume:6 | Issue:21 Page(s): 29-50

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Information Journal Paper

Title

INVESTIGATING PROFITABILITY OF MOMENTUM AND CONTRARIAN STRATEGIES IN TEHRAN STOCK EXCHANGE

Author(s)

SINAEI HASSAN ALI | AZHDARPOOR LEILA | Issue Writer Certificate

Keywords

FINANCIAL BEHAVIOR THEORYQ2

MOMENTUM STRATEGYQ2

CONTRARIAN STRATEGYQ2

TEHRANQ2

STOCK MARKETQ2

EFFICIENT MARKETQ2

Abstract

This article studies Iran’s emerging STOCK MARKET. Using data of stock returns, size and volume of 45 most traded firms listed in this market, over the period of 2007–2011. This study looks at the crucial question of pricing efficiency, examining the relation of current prices, size and volumes to future returns. We apply the analyses of Jegadeesh and Titman (1993) and DeBondt and Thaler (1987) in this developing market. There is no evidence of short-term “contrarian” and “momentum” behavior. But contrarian profitability is seen over intermediate (3-9 month) and long (24 month) horizons. However, after controlling for size and trading volume, evidence of short run momentum anomalies for small firms and short run contrarian anomalies for low traded firms have been found.

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APA: Copy

SINAEI, HASSAN ALI, & AZHDARPOOR, LEILA. (2014). INVESTIGATING PROFITABILITY OF MOMENTUM AND CONTRARIAN STRATEGIES IN TEHRAN STOCK EXCHANGE. FINANCIAL ACCOUNTING, 6(21), 29-50. SID. https://sid.ir/paper/168236/en

Vancouver: Copy

SINAEI HASSAN ALI, AZHDARPOOR LEILA. INVESTIGATING PROFITABILITY OF MOMENTUM AND CONTRARIAN STRATEGIES IN TEHRAN STOCK EXCHANGE. FINANCIAL ACCOUNTING[Internet]. 2014;6(21):29-50. Available from: https://sid.ir/paper/168236/en

IEEE: Copy

HASSAN ALI SINAEI, and LEILA AZHDARPOOR, “INVESTIGATING PROFITABILITY OF MOMENTUM AND CONTRARIAN STRATEGIES IN TEHRAN STOCK EXCHANGE,” FINANCIAL ACCOUNTING, vol. 6, no. 21, pp. 29–50, 2014, [Online]. Available: https://sid.ir/paper/168236/en

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