winner stock momentum in Iran

Subject Areas : Financial Markets and Institutions

Mehdi Elhaei Sahar ¹ , Rezvan Hejazi ² , Allah Karam Salehi ³ , Hossein Moltafet ⁴

1 - Department of Accounting, Ahvaz Branch, Islamic Azad University, Ahvaz, Iran
2 - Department of Accounting, Khatam University, Tehran, Iran
3 - Department of Accounting, Faculty of Humanities, Masjed-Soleiman branch, Islamic Azad University, Masjed-Soleiman, Iran
4 - Social Science Department, Faculty of Economics and social science, Shahid Chamran University, Ahvaz, Iran

Received: 2021-04-27 Accepted : 2021-10-03 Published : 2021-08-23

Keywords: Grounded Theory, Winner stock momentum, Iranian capital market,

Abstract :

Lately, the anomalies in capital markets have severely challenged the efficient hypothesis. The winner stock momentum is one of the anomalies called the unexplained short-term return by Fama and French (1996). The current study attempts for explaining the winner stock momentum in the Iranian capital market. The grounded theory method was used to explain wining stock momentum. To this end, in-depth interviews were held with 32 specialists working in the professional and academic grounds in 2018. The collected data were encoded in three stages, and the results were presented as a conceptual paradigm. Then, to quantify the model by the fuzzy analytic hierarchy process, a pairwise comparison questionnaire was distributed among the specialists. The research results are presented as a qualitative-quantitative model and the story extracted by grounded theory.The study discoveries recognized the momentum causal factors in the behavioral level, the background factors in the social, macroeconomics, and market levels, the intervening factors in the global economics, macroeconomics, market, and company levels, and the strategies in the social, macroeconomics, market, the investment and finances institutions, and consequences factors in market level.The study results propose that the winner stock momentum phenomenon must not be considered a speculation opportunity. Rather, it is an anomaly that has to be controlled with the suggested strategies.

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