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Emergence of the Electroweak Vacuum via Quantum Corrections
, M.Sc. Thesis Sharif University of Technology ; Torabian, Mahdi (Supervisor) ; Arfaei, Hesamaddin (Co-Advisor)Studying the Profitability of Momentum Strategy in GCC Stock Markets
, M.Sc. Thesis Sharif University of Technology ; Barakchian, Mahdi (Supervisor)
Abstract
In this research, we examine the profitability of momentum investing strategy in Middle East stock markets in 2005- 2014. We find that momentum strategy is not profitable in this period, since market was negative in many months of studying period. However, we find that the momentum strategy generate positive return following up market, and negative return following down market, which is similar to its performance in other stock markets. Our results show that pastmarket return determines winner and looser portfolio. Following up markets, high beta stocks constitute looser portfolio and low beta stocks constitute winner portfolio. Conversely, following down markets, high beta stocks constitute...