Default Risk and Momentum Effect; Some Evidence from Tehran Stock Exchange
عنوان مقاله: Default Risk and Momentum Effect; Some Evidence from Tehran Stock Exchange
شناسه ملی مقاله: JR_IJFIFSA-1-1_002
منتشر شده در در سال 1396
شناسه ملی مقاله: JR_IJFIFSA-1-1_002
منتشر شده در در سال 1396
مشخصات نویسندگان مقاله:
Maysam Ahmadvand - Allameh Tabatabaei University
Seyedeh Mahboobeh Jafari - Islamic Azad University, South Tehran Branch
Hamidreza Kordlouie - Islamic Azad University, Islamshahr Branch
خلاصه مقاله:
Maysam Ahmadvand - Allameh Tabatabaei University
Seyedeh Mahboobeh Jafari - Islamic Azad University, South Tehran Branch
Hamidreza Kordlouie - Islamic Azad University, Islamshahr Branch
The purpose of this paper is to analyze the relationship between default risk and momentum effect using data from companies listed on Tehran Stock Exchange.To calculate default risk,we used Black-Scholes-Merton (BSM) option pricing model. To describe momentum effect, by determining the formation period to be ۶ months, and the holding period to be ۳,۶, or ۱۲ months, we firstlyexamined the profitability of short term (۳/۶), midterm (۶/۶), and long term (۱۲/۶) momentum strategies and found that during ۲۰۱۰-۲۰۱۵ time period, only midterm momentum strategy is profitable.Then,we showedthere is no relationship between default risk andmomentum effect.
کلمات کلیدی: Momentum effect, Default risk, Asset valuation, Tehran Stock Exchange
صفحه اختصاصی مقاله و دریافت فایل کامل: https://civilica.com/doc/1428524/