Stock Price Momentum Modeling: A Grounded Theory Approach

Advances in Mathematical Finance and Applications

مقاله 3، دوره 5، شماره 2، تیر 2020، صفحه 167-181   

نوع مقاله: Research Paper

شناسه دیجیتال (DOI): 10.22034/amfa.2020.1882300.1324

نویسندگان

Mehdi Elhaei Sahar¹؛ Rezvan Hejazi^{* 1، 2}؛ Allah karam Salehi^{1، 3}؛ Hossein Moltafet^{1، 4}

¹Department of Accounting, Ahvaz Branch, Islamic Azad University, Ahvaz, Iran

²Department of Accounting, Khatam University, Tehran, Iran

³Department of Accounting, Masjed-Soleiman Branch Islamic Azad University, Masjed-Soleiman, Iran

⁴Social Science Department, Faculty of Economics and Social Sciences, Shahid Chamran University of Ahvaz, Ahvaz, Iran

چکیده

 
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 this phenomenon. To this end, in-depth interviews were held with 32 experts operating in the professional and academic fields in 2018. The collected data was encoded in three steps, and the results were presented as a conceptual paradigm. The research findings identified the momentum causal factors in the behavioral level, the background factors in the social, macroeconomics, and mar-ket levels, the intervening factors in the global economics, macroeconomics, mar-ket, and company levels, and the strategies in the social, macroeconomics, market, the investment and finances institutions, and consequences factors in market level.
The research findings suggest that the winner stock price momentum phenomenon should not be considered a speculation opportunity. Rather, it is an anomaly that has to be regulated with the proposed strategies according to the experts. The consequences of the adoption of these strategies include the stable and normal income for the market actors, the decrease in the loss inflicted on natural persons due to the market volatility, the management of anomalies, more effective attrac-tion and allocation of liquid capitals, the reduced credit risk of brokerages, and the acceleration of liquidation in the market.

کلیدواژه‌ها

price momentum؛ grounded theory؛ anomalies؛ behavioral finance

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