Proposing an optimal model for stock selection based on the momentum trading strategy

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SAFARI ALI; Ashna Mohammad

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Paper Information

Journal: FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES) Year:2019 | Volume:12 | Issue:41 Page(s): 143-153

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Title

Proposing an optimal model for stock selection based on the momentum trading strategy

Author(s)

SAFARI ALI | Ashna Mohammad | Issue Writer Certificate

Keywords

MomentumQ1

RiskQ2

Run RatioQ1

simple moving averageQ1

Abstract

Investors are always looking to achieve and use strategies to gain abnormal returns and to beat the market. In this regard, the use of quantitative models in recent years has attracted the attention of many investors. So far, several studies have examined the profitability of Momentum Trading Strategies, but few studies have been conducted in the field of stock selection based on the price Momentum strategy, taking into account the relevant Risk. The present study, considering changes in price and Risk, propose a new model for stock selection based on the Momentum strategy. The results show that there is a significant difference between the optimal portfolio returns resulting from the selection of the stock using the proposed model and the market portfolio returns (Tehran Exchange Price Index), and the optimized portfolio has a higher returns at times 3, 6, 9 and 12 monthly compared to the market portfolio.

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APA: Copy

SAFARI, ALI, & Ashna, Mohammad. (2019). Proposing an optimal model for stock selection based on the momentum trading strategy. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), 12(41 ), 143-153. SID. https://sid.ir/paper/200180/en

Vancouver: Copy

SAFARI ALI, Ashna Mohammad. Proposing an optimal model for stock selection based on the momentum trading strategy. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES)[Internet]. 2019;12(41 ):143-153. Available from: https://sid.ir/paper/200180/en

IEEE: Copy

ALI SAFARI, and Mohammad Ashna, “Proposing an optimal model for stock selection based on the momentum trading strategy,” FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), vol. 12, no. 41 , pp. 143–153, 2019, [Online]. Available: https://sid.ir/paper/200180/en

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