[Home ] [Archive]   [ فارسی ]  
:: Main :: About :: Current Issue :: Archive :: Search :: Submit :: Contact ::
:: year 6, Issue 21 (2014) ::
quarterly financial accounting journal 2014, 6(21): 29-50 Back to browse issues page
Investigating Profitability of Momentum and Contrarian Strategies in Tehran Stock Exchange
Abstract:   (7550 Views)
This article studies Iran’s emerging stock market. Using data of stock returns, size and volume of 45 most traded firms listed in this market, over the period of 2007–2011. This study looks at the crucial question of pricing efficiency, examining the relation of current prices, size and volumes to future returns. We apply the analyses of Jegadeesh and Titman (1993) and DeBondt and Thaler (1987) in this developing market. There is no evidence of short-term “contrarian” and “momentum” behavior. But contrarian profitability is seen over intermediate (3–9 month) and long (24 month) horizons. However, after controlling for size and trading volume, evidence of short run momentum anomalies for small firms and short run contrarian anomalies for low traded firms have been found.
Keywords: Financial behavior theory, Momentum strategy, Contrarian strategy, Tehran, Stock Market, Efficient market
Full-Text [PDF 860 kb]   (2224 Downloads)    
Type of Study: Research | Subject: Special
Add your comments about this article
Your username or Email:

CAPTCHA


XML   Persian Abstract   Print


Download citation:
BibTeX | RIS | EndNote | Medlars | ProCite | Reference Manager | RefWorks
Send citation to:

Investigating Profitability of Momentum and Contrarian Strategies in Tehran Stock Exchange. quarterly financial accounting journal. 2014; 6 (21) :29-50
URL: http://qfaj.ir/article-1-111-en.html


year 6, Issue 21 (2014) Back to browse issues page
فصلنامه حسابداری مالی Quarterly Financial Accounting
Persian site map - English site map - Created in 0.05 seconds with 32 queries by YEKTAWEB 3974