Impact of Momentum on Stock Returns in Different Market Conditions
Publish Year: 1399
نوع سند: مقاله ژورنالی
زبان: English
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شناسه ملی سند علمی:
JR_AMFA-5-3_009
تاریخ نمایه سازی: 20 تیر 1400
Abstract:
The purpose of this study is to compare the impacts of momentum on stock returns of companies listed in Tehran Stock Exchange in different market conditions. For this purpose, the sample size is ۱۲۰ months from ۲۰۰۸ to ۲۰۱۷. The research hypotheses are estimated using multivariate linear regression using time series method. Based on the results of the hypotheses test, the momentum in each of the market conditions, including normal, ascending and descending conditions, has a positive and direct effect on the stock returns of the companies listed in Tehran Stock Exchange, which indicates the principle of investors' insatiability in the stock exchange Tehran seeking to maximize its return on investment with a certain risk that in a downside mode of market, their insatiability exits less and faster than their momentum conditions, which is a reason for investors' loss evasion in this situation.
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Authors
Alireza Ghiyasvand
Department of Accounting,South Tehran Branch,Islamic Azad University,Tehran,Iran
Roya Darabi
Department of Accounting, faculty of accounting,Islamic Azad University, Tehran, Iran.
Mohsen Hamidian
economic and accounting,Azad university-South of tehran branch
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