Title of article
Impact of momentum on stock returns in different market conditions
Author/Authors
Ghiyasvand, Alireza Department of Accounting - South Tehran Branch - Islamic Azad University , Darabi, roya Department of Accounting - Tehran Islamic Azad University , Hamidian, Mohsen economic and accounting Depat - South of tehran branch - Azad university
Pages
14
From page
377
To page
390
Abstract
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.
Keywords
Momentum , Stock Returns , Market Conditions
Journal title
Astroparticle Physics
Serial Year
2020
Record number
2488169
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