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in this study, the profitability of contrarian and momentum strategies were traded in mid- term based on trading volume. the stocks were categorized into three parts (high, middle and low) at the outset. then, the relationship between excess return with three components such as cross-sectional risk, lead-lag effect and time-series pattern were examined based on jegadeesh and titman approach.the...

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...

In this research, overreaction and underreaction have been studied by assessing profitability and excess returns of investment strategies and evaluating price adjustment speed in short and long terms. The results showed that the momentum investment strategies had higher annual returns in comparison to contrarian strategies in all short and long periods which led to confirmation of underreaction...

GQM+Strategies is an approach that aligns the business goals at each level of an organization to strategies to achieve overall business goals and assesses the achievement of such goals. Strategies are extracted from business goals based on rationales (contexts and assumptions). Using the proposed approach, which refines the GQM+Strategies model by extracting rationales based on the analysis of ...