Impact of Momentum on Stock Returns in Different Market Conditions

Advances in Mathematical Finance and Applications

مقاله 9، دوره 5، شماره 3، مهر 2020، صفحه 391-402   

نوع مقاله: Research Paper

شناسه دیجیتال (DOI): 10.22034/amfa.2019.577556.1138

نویسندگان

Alireza Ghiyasvand¹؛ Roya Darabi^{* 2}؛ Mohsen Hamidian³

¹Department of Accounting,South Tehran Branch,Islamic Azad University,Tehran,Iran

²Department of Accounting, faculty of accounting,Islamic Azad University, Tehran, Iran.

³economic and accounting,Azad university-South of tehran branch

چکیده

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 the market conditions, including normal, ascending and descending conditions, has a positive and direct effect on the stock returns of the companies listed in Tehran Stock Exchange, which indicates the principle of investors' insatiability in the stock exchange Tehran seeking to maximize its return on investment with a certain risk that in a downside mode of market, their insatiability exits less and faster than their momentum conditions, which is a reason for investors' loss evasion in this situation.

کلیدواژه‌ها

Momentum؛ Stock Returns؛ Market Conditions

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