RETURN MOMENTUM: EVIDENCE FROM TEHRAN STOCK EXCHANGE

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BADRI AHMAD; FATHULLAHI FUAD

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Journal: INVESTMENT KNOWLEDGE Year:2014 | Volume:3 | Issue:9 Page(s): 1-20

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Title

RETURN MOMENTUM: EVIDENCE FROM TEHRAN STOCK EXCHANGE

Author(s)

BADRI AHMAD | FATHULLAHI FUAD | Issue Writer Certificate

Keywords

MOMENTUMQ1

RETURNQ2

TRADING STRATEGIESQ2

FAMA- FRENCH THREE FACTOR MODELQ1

RISK-ADJUSTED RETURNQ2

Abstract

In this research, stocks' RETURN MOMENTUM (as one of the most challenging issues of finance in the past 2 decades) is studied on Tehran Stock Exchange. The methodology of examining MOMENTUM includes forming of 6438 portfolios and testing the mean of these portfolio RETURNs statistically during a 10 year period from 2002 to 2011.The evidence shows in a sample consisting of 94 listed companies which constitutes majority of market capitalization of Tehran Stock Exchange, TRADING STRATEGIES based on RETURN MOMENTUM are profitable in midterm. Fama- French (1993) three factor risk model cannot explain MOMENTUM in medium term and MOMENTUM excess RETURN after adjusting for risk is a challenge to efficient market hypothesis. Therefore, midterm RETURN MOMENTUM can be explained by behavioral models and market under reaction can result in MOMENTUM. In long term, RETURN MOMENTUM disappears and a RETURN of strategies formed based on RETURN MOMENTUM is close to zero and insignificant.

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APA: Copy

BADRI, AHMAD, & FATHULLAHI, FUAD. (2014). RETURN MOMENTUM: EVIDENCE FROM TEHRAN STOCK EXCHANGE. INVESTMENT KNOWLEDGE, 3(9), 1-20. SID. https://sid.ir/paper/187992/en

Vancouver: Copy

BADRI AHMAD, FATHULLAHI FUAD. RETURN MOMENTUM: EVIDENCE FROM TEHRAN STOCK EXCHANGE. INVESTMENT KNOWLEDGE[Internet]. 2014;3(9):1-20. Available from: https://sid.ir/paper/187992/en

IEEE: Copy

AHMAD BADRI, and FUAD FATHULLAHI, “RETURN MOMENTUM: EVIDENCE FROM TEHRAN STOCK EXCHANGE,” INVESTMENT KNOWLEDGE, vol. 3, no. 9, pp. 1–20, 2014, [Online]. Available: https://sid.ir/paper/187992/en

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