Studying Performance of the Enhanced Momentum Strategies in Tehran Stock Exchange

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Mashhadirajab, Zahra | 2015

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Type of Document: M.Sc. Thesis
Language: Farsi
Document No: 48200 (44)
University: Sharif University of Technology
Department: Management and Economics
Advisor(s): Bahramgiri, Mohsen
Abstract:
In this study, Tehran Stock Exchange market has been studied over a period of five years, and not only return of Simple Momentum Strategy but also returns of several Enhanced Momentum Strategies are calculated and compared with each other. The results obtained in this study are so different from the results obtained previously. For instance, unlike results of the previous researches, Simple Momentum Strategy had no significant return while the Contrarian Strategy yielded considerable return. Some elements in the Enhanced Momentum Strategies improved its performance while some others have worsened it. For example, low book to market value weakened the return of Momentum Strategy and strengthened Contrarian Strategy’s return; revenue growth volatility had no effects; and downward market, high cost and large size of the company improved the return of momentum strategy
Keywords:
Momentum Strategy ; Contrarian Strategy ; Cost ; Firm Size ; Tehran Stock Exchange ; Revenue Growth Volatility ; Book to Morket Value ; Market Condition

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