Investigating the profitability of momentum investment strategy in Tehran Stock exchange (TSE)

ABSTRACT: This study aims at investigating the profitability of momentum investment strategy in Tehran Stock Exchange (TSE) market. The data was collected from monthly reports of TSE during 2006-2010 (1385-1389 Solar Hijri). The results of investigation on a number of 35 TSE companies revealed that a portfolio that yielded the best return over a mid-term, 3-12 month horizon was likely to produce the best return over the next3-12 months. However, the results showed that for a short-term, two-month and long-term, 24-month horizons, the trends reversed so that the reverse strategy was found to have higher profitability. Therefore, using an investment strategy consistent with specific time horizons may produce returns greater than average market returns. The present results are consistent with previousfindings. The present findings may have important implications for TSE.