Review and test the momentum phenomenon in terms of up and down market

Subject Areas : Journal of Investment Knowledge

Mohammad Hakkak ¹ ( Assistant Professor in Lorestan University )
Zahra Akbari ² ( Graduated student in Accounting of Economic Science University )

Received: 2012-06-30 Accepted : 2012-09-20 Published : 2012-09-20

Keywords: Momentum of the price, the dividend to price ratio, the up market, the down market,

Abstract :

The  purpose of this study profitability strategy momentum  prices in Tehran stock exchange and evaluation of the ratio of dividends to prices on the efficiency of this strategy. This research, in terms of applications, according to data type bit. In this study shares 96 companies participating Active in the Tehran Stock Exchange from 1380 to 1389 has been selected The main research hypothesis is that the momentum strategy can be an extra return earned on the Tehran Stock Exchange. Compared with test results of hypothesis test showed that the momentum strategy is profitable during the period of six months.