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Investigating Profitability of Momentum and Contrarian Strategies in Tehran Stock Exchange
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Abstract: (10167 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. |
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| Keywords: Financial behavior theory, Momentum strategy, Contrarian strategy, Tehran, Stock Market, Efficient market |
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Full-Text [PDF 860 kb]
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Type of Study: Research |
Subject:
Special
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