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Information Journal Paper

Title

INVESTIGATING THE PROFITABILITY OF MOMENTUM INVESTING STRATEGY IN TEHRAN STOCK EXCHANGE

Pages

  47-76

Abstract

 Based on momentum investment strategy, in spite of EFFICIENT MARKET hypothesis, in specific date period each share has specific behavior method of profitability and with an appropriate strategy that match specific date period, one can achieve return on investment higher than market ROI. The purpose of this research is investigation of momentum investment strategy profitability. Researches show that there is momentum or continuation of return in 3.till 12 month period in common stock returns behavior and therefore applying MOMENTUM STRATEGY can increase the return of investment. Profitability of this strategy has proved in many developed and some emerging markets. In this research we investigate the return of applying MOMENTUM STRATEGY in Tehran stock exchange (TSE). This survey shows that MOMENTUM STRATEGY is profitable in Iranian emerging stock market. The statistical population is all companies listed in Tehran Stock Exchange (TSE). Some companies were listed in TSE and their shares were traded at least one time from 2004 to 2009 were selected as sample of this research. Research findings show that in any momentum investment strategies that analyzed, average of monthly return of winner portfolio in a specific time horizon is higher than average of monthly return of loser portfolio. Also this findings show that such winner portfolio that has best performance in 3, 6 or 12 month period continue its own performance.

Cites

References

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APA: Copy

ESLAMI BIDGOLI, GHOLAMREZA, NABAVI CHASHMI, SEYED ALI, YAHYAZADEHFAR, MAHMOOD, & EIKANI, SEDDIGHEH. (2010). INVESTIGATING THE PROFITABILITY OF MOMENTUM INVESTING STRATEGY IN TEHRAN STOCK EXCHANGE. QUANTITATIVE RESEARCHES IN MANAGEMENT, 1(1), 47-76. SID. https://sid.ir/paper/191961/en

Vancouver: Copy

ESLAMI BIDGOLI GHOLAMREZA, NABAVI CHASHMI SEYED ALI, YAHYAZADEHFAR MAHMOOD, EIKANI SEDDIGHEH. INVESTIGATING THE PROFITABILITY OF MOMENTUM INVESTING STRATEGY IN TEHRAN STOCK EXCHANGE. QUANTITATIVE RESEARCHES IN MANAGEMENT[Internet]. 2010;1(1):47-76. Available from: https://sid.ir/paper/191961/en

IEEE: Copy

GHOLAMREZA ESLAMI BIDGOLI, SEYED ALI NABAVI CHASHMI, MAHMOOD YAHYAZADEHFAR, and SEDDIGHEH EIKANI, “INVESTIGATING THE PROFITABILITY OF MOMENTUM INVESTING STRATEGY IN TEHRAN STOCK EXCHANGE,” QUANTITATIVE RESEARCHES IN MANAGEMENT, vol. 1, no. 1, pp. 47–76, 2010, [Online]. Available: https://sid.ir/paper/191961/en

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