Investigating the Effect of Momentum on the Risk and Stock Returns and Simultaneous Impact

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Ghiyasvand Alireza; DARABI ROYA; HAMIDIAN MOHSEN

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Journal Paper

Paper Information

Journal: JOURNAL OF ACCOUNTING AND AUDITING RESEARCHES (ACCOUNTING RESEARCH) Year:2019 | Volume:11 | Issue:43 Page(s): 71-84

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Title

Investigating the Effect of Momentum on the Risk and Stock Returns and Simultaneous Impact

Author(s)

Ghiyasvand Alireza | DARABI ROYA | HAMIDIAN MOHSEN | Issue Writer Certificate

Keywords

MomentumQ1

Stock RiskQ2

Stock ReturnsQ2

Abstract

The purpose of this study is to compare the effects of Momentum on Stock Returns and risk and its simultaneous effect on the risk and returns of the listed companies in Tehran Stock Exchange. For this purpose, a sample of 98 companies was selected during the years 1385 to 1394. The research hypotheses are estimated using linear time series regression. According to the results of the first hypothesis test, the Momentum has a positive and direct effect on the returns of the companies listed in the Tehran Stock Exchange. Based on the results of the test The second hypothesis, the Momentum on the Stock Risk of the companies admitted to Tehran Stock Exchange has a negative effect. Based on the results of the third hypothesis test, the Momentum has a negative and inverse relationship between the simultaneous risk and returns of the companies listed in the Tehran Stock Exchange, and this effect is more affected by the equity risk component.

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APA: Copy

Ghiyasvand, Alireza, DARABI, ROYA, & HAMIDIAN, MOHSEN. (2019). Investigating the Effect of Momentum on the Risk and Stock Returns and Simultaneous Impact. JOURNAL OF ACCOUNTING AND AUDITING RESEARCHES (ACCOUNTING RESEARCH), 11(43 ), 71-84. SID. https://sid.ir/paper/368523/en

Vancouver: Copy

Ghiyasvand Alireza, DARABI ROYA, HAMIDIAN MOHSEN. Investigating the Effect of Momentum on the Risk and Stock Returns and Simultaneous Impact. JOURNAL OF ACCOUNTING AND AUDITING RESEARCHES (ACCOUNTING RESEARCH)[Internet]. 2019;11(43 ):71-84. Available from: https://sid.ir/paper/368523/en

IEEE: Copy

Alireza Ghiyasvand, ROYA DARABI, and MOHSEN HAMIDIAN, “Investigating the Effect of Momentum on the Risk and Stock Returns and Simultaneous Impact,” JOURNAL OF ACCOUNTING AND AUDITING RESEARCHES (ACCOUNTING RESEARCH), vol. 11, no. 43 , pp. 71–84, 2019, [Online]. Available: https://sid.ir/paper/368523/en

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