mousa Bozorge Asl; Amir Abbas Sahebgharani
Volume 10, Issue 38 , July 2013, , Pages 53-67
Abstract
Momentum strategies which are widely use as a transaction strategy and portfolio management shows the continuation of recent trend of stock prices and beliefs that recent trend will be continued in future. These strategies are in contrast with EMH even in the weak form and are considered as Technical ...
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Momentum strategies which are widely use as a transaction strategy and portfolio management shows the continuation of recent trend of stock prices and beliefs that recent trend will be continued in future. These strategies are in contrast with EMH even in the weak form and are considered as Technical Anomalies.In this research, using financial performance of the companies, we attempted to prove that the industries who achieve more profitability comparing their predictions, continue to this approach in the near future. Toward this goal, the research was performed using a sample consisting of companies listed in Tehran Stock Exchange(TSE) for the period of 1385 to 1390,and also with use of simulated portfolios based on the variables of standardized unexpected earnings (SUE) and abnormal return (ABR) in accordance with each industry, evaluation profitability, reasons, factors and the relevance between these phenomena.Results indicate that by investigating of momentum strategies according to different industries, abnormal return can be gained and the extent of the relationship between these phenomena is lessened over time and will fade away in a time horizon of one year.
