Combining momentum strategy with reversal strategy and investigation the profitability of them in Tehran Stock Exchange

Momentum and reversal investment strategy yields higher returns on the market based on predictable patterns of assets. These two methods are used in the management of stock portfolios, but also used in other markets and securities. Investors in these methods, by using the last price of an asset, decide to buy or sell the asset. The aim of this study is that combining momentum strategy with reversal strategy and measure their profitability in the Tehran Stock Exchange. The statistical population of this study is all companies listed in Tehran Stock Exchange. According to several criteria, ۳۰ companies were selected by the method of Systematic Removal Sampling between ۲۰۱۱ and ۲۰۱۷, and winning and losing portfolios were formed. The average returns of the two winning and losing portfolios were compared using the t-student test. The results showed that in some periods with a three-and-six-month maintenance period, the use of this strategy was profitable, but this strategy was not approved during the one-month profitability period.

Keywords:

Reversal Strategy , Momentum Strategy , Overreaction , Underreaction