Is Factor Momentum More than Stock Momentum?

Impact of momentum on stock returns in different market conditions

The purpose of this study is to compare the impacts of momentum on stock returns of companies listed in Tehran Stock Exchange in different market conditions. For this purpose, the sample size is 120 months from 2008 to 2017. The research hypotheses are estimated using multivariate linear regression using time series method. Based on the results of the hypotheses test, the momentum in each of th...

The Expansion of Capital Asset Pricing Factor Models through Pricing Value ، Momentum and stock quality at Tehran stock exchange

Considering the inverse relationship between the value and momentum factors and the lack of simultaneous use of them in capital asset pricing models as well as non-use of stock quality as representative of profitability ans investment factors such as CAPM and Fama and French's three-factor models, the basis of this study is to provide a new functional model has been replacing pricing models o...

Stock Price Momentum Modeling: A Grounded Theory Approach

Recently, understanding the anomalies in financial markets have severely chal-lenged the efficient market hypothesis (EMH). The price momentum is one of the anomalies described as the unexplained short-term return by Fama and French (1996). The present research strives for modeling the price momentum of winner stock in the Iranian capital market. The grounded theory method was used to explain t...

Stock Return Momentum and Investor Fund Choice

Momentum effect on the Russian stock market. Whether emerging markets are not profitable for Momentum Strategies

Our study examines whether price momentum strategy (cross section momentum effect on longshort portfolios) can be profitable on Russian stock market. We testing the statistical significance of zero cost portfolio excess returns. Our sample covers the period from 2004 to 2013 capturing different states of Russian economy. We implement relative strength strategy with 10% quantile to construct equ...