Explain momentum and its sources in Tehran stock exchange

Subject Areas : Journal of Investment Knowledge

Mohammadreza Rostami ¹ , Hojatollah Ansari ² , Nazdar Heydari ³

1 - Assistant Proffesor,Alzahra University, Tehran, Iran (Corresponding author)
2 - Tehran University, Tehran, Iran
3 - Ms of Finance, Alzahra University,Tehran, Iran

Received: 2013-03-05 Accepted : 2013-05-10 Published : 2013-05-10

Keywords: Momentum, Winer, Loser, Behavioral bias,

Abstract :

In this survey, we explain momentum and its sources in Tehran stock exchange. Our sample is all listed companies in Tehran stock exchange. Ninety corporations have been selected by limitation sampling Method and been investigated during the period of 1385-1390.  Hypothesis tests are done using compare means and OLS methods. Findings indicate that momentum strategy in both ranking and holding six and three months periods were profitable. In addition, the winner and loser stock returns were estimated using CAPM and Fama-french three factor models and the hypothesis tests indicated that the excess returns of momentum strategy has not been removed but modified slightly. In order to describe momentum sources as well, behavioral bias and risk factors as independent variables of equation have been tested. The results implied that behavioral biases as sources of momentum at both 3 and 6- month periods are approved and the risk factor in the 6 month period -as the source of momentum- has a significant relationship with momentum strategy return.