Dissecting stock price momentum using financial statement analysis of companies listed on the Tehran Stock Exchange
Subject Areas : Financial Knowledge of Securities Analysis
Ahmad Khoddamipour
1
*
,
Majid Azadi Sheshdeh
2
1 - Associate Professor, Faculty of Management and Academic Faculty, Islamic Azad University, Tehran Branch, Center, Tehran. Iran. (Corresponding Author)
2 - Department of Accounting, Faculty of Management and Economics, Shahid Bahonar University of Kerman, Kerman, Iran
Keywords: Financial Statement Analysis, Fundamental analysis, Stock Price Momentum,
Abstract :
Many studies have been done on the momentum strategy in Tehran Stock Exchange to predict stock returns .In most of research pertaining to momentum, profit and return are used as a criterion for selection of stocks with best (worst) performance in the past for momentum portfolio. Therefore, the purpose of this study is to investigate the profitability of momentum strategy using the analysis of financial statements based on past share returns. For this purpose, the sample includes 213 member companies of Tehran Stock Exchange and has been selected for a period of 10 years from 1388 to 1397. This research is applied in terms of purpose, post-event experimental in terms of research method, reasoning in terms of method, establishment, theory in terms of behavioral financial research and statistically in the form of correlational research using community (sample). It acts as a model for the whole society. To test the research model, first F-Limer test and then Hausman test were used. The results tests showed that the test method for the research hypothesis is the panel (panel) data method with fixed effects, which was performed using 10 EViews software. The results of this study show that the collected data are significant at 95% confidence level (P-Value = 0.000) and the adjusted R2 value is 0.89 and shows that about 89% when performance expectations A company reflected in past prices that is consistent with fundamental analysis, the momentum effect is stronger than when the pure momentum strategy is used.
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