THE FORECASTING OF ABNORMAL RETURN IN THE BASE OF PRICE MOMENTUM MODEL

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MOHAGHEGH NIYA MOHAMMAD JAVAD; SADIDI MEHDI; SAHEBGHARANI AMIR ABBAS

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Journal: The Financial Accounting and Auditing Researches Year:2013 | Volume:5 | Issue:19 Page(s): 1-22

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Title

THE FORECASTING OF ABNORMAL RETURN IN THE BASE OF PRICE MOMENTUM MODEL

Author(s)

MOHAGHEGH NIYA MOHAMMAD JAVAD | SADIDI MEHDI | SAHEBGHARANI AMIR ABBAS | Issue Writer Certificate

Keywords

MOMENTUM STRATEGIESQ2

PRICE MOMENTUMQ2

ABNORMAL RETURNQ2

Abstract

MOMENTUM STRATEGIES say that with investigation of past function of stocks, We can forecasting the future function of them and this strategies believe that the current trend of market will be continue in the future and classifying in the class of technical anomaly. So the acceptance of profitability of these strategies can be challenge the modern finance theory and efficient market hypothesis (EMH).In this research with use of the sample from 100 companies which are in Tehran’s stock exchange from the years of 85 until 90 and with use simulated portfolios in the base of past ABNORMAL RETURN has been attempted to appraisal the beneficiary of these strategies and investigation the time period of these strategies.The result shows that with investigation of past trend of stocks in the PRICE MOMENTUM model we can obtain the ABNORMAL RETURN. Also the serial correlation among the market return of investigated stocks is lessen over time and will fade away in a time horizon of one year.

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APA: Copy

MOHAGHEGH NIYA, MOHAMMAD JAVAD, SADIDI, MEHDI, & SAHEBGHARANI, AMIR ABBAS. (2013). THE FORECASTING OF ABNORMAL RETURN IN THE BASE OF PRICE MOMENTUM MODEL. THE FINANCIAL ACCOUNTING AND AUDITING RESEARCHES, 5(19), 1-22. SID. https://sid.ir/paper/198114/en

Vancouver: Copy

MOHAGHEGH NIYA MOHAMMAD JAVAD, SADIDI MEHDI, SAHEBGHARANI AMIR ABBAS. THE FORECASTING OF ABNORMAL RETURN IN THE BASE OF PRICE MOMENTUM MODEL. THE FINANCIAL ACCOUNTING AND AUDITING RESEARCHES[Internet]. 2013;5(19):1-22. Available from: https://sid.ir/paper/198114/en

IEEE: Copy

MOHAMMAD JAVAD MOHAGHEGH NIYA, MEHDI SADIDI, and AMIR ABBAS SAHEBGHARANI, “THE FORECASTING OF ABNORMAL RETURN IN THE BASE OF PRICE MOMENTUM MODEL,” THE FINANCIAL ACCOUNTING AND AUDITING RESEARCHES, vol. 5, no. 19, pp. 1–22, 2013, [Online]. Available: https://sid.ir/paper/198114/en

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