The Evaluation of the Managed Momentum Strategy in the Listed Companies on Tehran Stock Exchange

Q: How can I download an article?

To download an article from SID, first log in to the site, search for the article title, and click on the 'Download Article' option.

Q: How can I download an ISI article?

To download an ISI article on SID, enter the keyword or article title in the search bar, view the relevant results, click on the desired article, and select the 'Download Article' option.

Q: How can I access the SID database?

To access the SID database, visit SID.ir, create an account, and log in to access scientific resources.

Q: Is downloading articles from SID free?

Some articles on SID are available for free, while others require payment. Details are specified on the article's page.

KHANI ABDULLAH; Botshekan Mahmoud; Athari Babak

Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

Journal Paper

Paper Information

Journal: JOURNAL OF FINANCIAL MANAGEMENT STRATEGY Year:2021 | Volume:8 | Issue:31 Page(s): 23-50

Download Full-Text

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

Persian Verion

View:

375

Download:

Cites:

Information Journal Paper

Title

The Evaluation of the Managed Momentum Strategy in the Listed Companies on Tehran Stock Exchange

Author(s)

KHANI ABDULLAH | Botshekan Mahmoud | Athari Babak | Issue Writer Certificate

Keywords

AnomaliesQ1

Momentum StrategyQ1

Momentum CrashesQ1

Risk-Managed MomentumQ1

Abstract

Momentum factor is known as a one of the pervasive factor that can explain the returns of stock. This Strategy challenge efficient Market hypothesis by creating opportunity to earn excess returns as a anomaly in the level of national Market. It has a dark side too. It is shown that in the time of the market crashes (financial crises) it may be several years' returns of the strategy of momentum can be eliminated. In this research for explaining of the Momentum Crashes, we use high volatility of momentum risk by estimating of realized volatility of daily momentum returns in Tehran Stock Exchange. The results show that when we scale on the base of the target standard deviation, we can manage the momentum risk. Therefore we can see decreasing in standard deviation from 45% to 31% and negative skew from-2. 5% to 1. 5%. Before the scaling, we saw that the Sharp ratio was 36% and after the scaling it increased and received to 53%. So the results of research show that managed momentum risk can eliminate the risk of Momentum Crashes in Tehran Stock Exchange.

Cites

No record.

References

No record.

Cite

APA: Copy

KHANI, ABDULLAH, Botshekan, Mahmoud, & Athari, Babak. (2021). The Evaluation of the Managed Momentum Strategy in the Listed Companies on Tehran Stock Exchange. JOURNAL OF FINANCIAL MANAGEMENT STRATEGY, 8(31 ), 23-50. SID. https://sid.ir/paper/402440/en

Vancouver: Copy

KHANI ABDULLAH, Botshekan Mahmoud, Athari Babak. The Evaluation of the Managed Momentum Strategy in the Listed Companies on Tehran Stock Exchange. JOURNAL OF FINANCIAL MANAGEMENT STRATEGY[Internet]. 2021;8(31 ):23-50. Available from: https://sid.ir/paper/402440/en

IEEE: Copy

ABDULLAH KHANI, Mahmoud Botshekan, and Babak Athari, “The Evaluation of the Managed Momentum Strategy in the Listed Companies on Tehran Stock Exchange,” JOURNAL OF FINANCIAL MANAGEMENT STRATEGY, vol. 8, no. 31 , pp. 23–50, 2021, [Online]. Available: https://sid.ir/paper/402440/en

Related Journal Papers