A scheme of CAPM models considering momentum premium

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SALEHI MEHRDAD; HEJAZI REZVAN; TALEBNIA GHODRAT ALLAH; AMIRI ALI

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Paper Information

Journal: FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES) Year:2019 | Volume:12 | Issue:43 Page(s): 223-239

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Title

A scheme of CAPM models considering momentum premium

Author(s)

SALEHI MEHRDAD | HEJAZI REZVAN | TALEBNIA GHODRAT ALLAH | AMIRI ALI | Issue Writer Certificate

Keywords

ValuationQ1

Capital AssetsQ1

Momentum premiumQ1

Abstract

the growth and development of financial markets and instruments, the complexity of financial markets and the specialization of investment, investors and financial market professionals need tools, methods and models that help them choose the best investment and the most appropriate portfolios. This has led to a variety of theories, models, and methods for pricing asset holdings and the calculation of stock market outlook predictions, which are developing and changing every day. The aim of this research a scheme of CAPM models considering Momentum premium. For this purpose, the researcher uses factor analysis method and structural equation method in order to more accurately analyze the data and measure the variables of the model. The results of 90 companies during the period from 2006 to 2016 in the Tehran Stock Exchange show that adding a factor to the momentum increases the explanatory power of the new model of capital asset Valuation. Also, the return on a portfolio consisting of a losing company is less than the return on a portfolio of winning shares.

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APA: Copy

SALEHI, MEHRDAD, HEJAZI, REZVAN, TALEBNIA, GHODRAT ALLAH, & AMIRI, ALI. (2019). A scheme of CAPM models considering momentum premium. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), 12(43 ), 223-239. SID. https://sid.ir/paper/200081/en

Vancouver: Copy

SALEHI MEHRDAD, HEJAZI REZVAN, TALEBNIA GHODRAT ALLAH, AMIRI ALI. A scheme of CAPM models considering momentum premium. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES)[Internet]. 2019;12(43 ):223-239. Available from: https://sid.ir/paper/200081/en

IEEE: Copy

MEHRDAD SALEHI, REZVAN HEJAZI, GHODRAT ALLAH TALEBNIA, and ALI AMIRI, “A scheme of CAPM models considering momentum premium,” FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), vol. 12, no. 43 , pp. 223–239, 2019, [Online]. Available: https://sid.ir/paper/200081/en

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