Document Type : Research Paper
Authors
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 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.
Keywords
- . گذاری شماره 83 تهران، 1 11
.2 خالقی مقدم، حمید و سرهنگی، حجت ) 1831 (،" تحلیل تجربی استراتژی های معاملاتی
سرمایهگذاری مبتنی بر بازده" مجله مطالعات حسابداری، شماره 22 ، دانشگاه علامه
طباطبایی.
.8 راعی، رضا و فلاح پور، سعید ) 1838 ( ، " مالی رفتاری رویکردی متفاوت در حوزه مالی"،
- . مجله تحقیقات مالی، شماره، 13 دانشگاه تهران، 22 131
.4 کمالی، هاجر ) 1831 ( ،" بررسی استراتژی شتاب و استراتژی معکوس در بورس اوراق
بهادار تهران" پایان نامه کارشناسی ارشد، دانشگاه الزهرا.
.1 امینی، نقی ) 1833 (،" بررسی نیروی حرکت قیمت و نیروی حرکت عایدات و رابطه آنها
با هم در بورس اوراق بهادار تهران" ،پایان نامه کارشناسی ارشد، دانشگاه شهید بهشتی.
.1 فدایی نژاد، محمد اسماعیل و صادقی، علی ) 1831 (،" بررسی سودمندی استراتژیهای و
معکوس در اوراق بهادار تهران"مجله تحقیقات مالی، دانشگاه تهران.
.2 هاگن، رابرت ) 1831 (،" نظریه های مالی نوین"، ترجمه بیدگلی، غلامرضا و شمس، شهاب
الدین، انتشارات دانشگاه تهران،تهران.
.3 مهدی، مرادی ) 1834 (،" بررسی واکنش بیش از اندازه در بورس اوراق بهادار تهران"
رساله دکتری، دانشکده مدیریت دانشگاه تهران.
9. Boni,l. Womack,k (2008) ," Analysts, Industries, and Price Momentum", Journal of financial and quantitative analysis, vol41.no1.
10. Brown ,J.A. Martin,J.( 2008),“Momentum investing and business cycle risk: Evidence from pole to pole,” Journal of Finance 58, 2515–2547.
11. Brown J. A. and Martin, J (2008), “ Global momentum strategies ”Journal of Portfolio
12. Chan, Louis K. C. Jegadeesh, , Narasimhan , Lakonishok , Josef (1996) ,“ Momentum strategies , Journal of Finance 51, 1681–1713.
13. Fama, E, French, K (1996), “ Multifactor Explanations of Asset Pricing Anomalies” Journal of Financial Economics 51, 55-84.
14. Foster, George, Olsen, Chris, Shevlin. , Terry (1994), “ Earnings releases, anomalies, andthe of behavior security returns,” The Accounting Review 59, 574–603.
15. Grundy, Bruce, Martin , J ( 2008)” Understanding the Nature of Risks andthe Sources of Rewards to Momentum Investing,'' Review of Financial
پیش بینی بازده غیرعادی بر مبنای مدل... 67
Studies 14, 2
16. Hong, T, Swaminathan, B (2008), ''Earnings momentum in international markets,'' Working paper,Cornell University.
17. Jegadeesh, Narasimhan, Titman, Sheridan (1993) "Returns to buying winners andselling losers: Implications for stock market efficiency,' Journal Finance 48, 65-91
18. Jegadeesh, Narasimhan Titman, Sheridan (2007)"Profitability of momentum strategies:An evaluation of alternative explanations," Journal Finance 56,699-720.
19. Jegadeesh, Narasimhan,Titman, Sheridaan 2007"Cross Sectional and Time- Series of Determinants Momentum Returns" Review of Financial Studies
20. Latane,Henry, Jones, Charles (1979),"Standardized unexpected earnings " Journal of Finance 34, 717–724.
21. Lesmond, David, Michael , Schill , J Zhou, Chunsheng (2001), “ The Illusory Nature of Momentum Profits” Tulane working paper.
22. Mcknight. P. J , Hou.T.C.T , (2008) ," The determinantsof momentum in the United The Quarterly, Kingdom" Review of Economics and Finance,Nov.2008
23. Moskowitz, T, Grinblatt Mark (2003), “Does Industry Explain Momentum?”Journal of Finance 54,1249-1290.
24. Steven, J (2008) "Earnings and price momentum"Journal of Financial Economics80.
)