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The Origin of Excess Return of the Momentum Strategy in the Toronto Stock Exchange over 2009-2015

Azarmi Ajirlu, Behrang | 2017

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  1. Type of Document: M.Sc. Thesis
  2. Language: Farsi
  3. Document No: 49312 (44)
  4. University: Sharif University of Technology
  5. Department: Management and Economics
  6. Advisor(s): Keshavarz Haddad, Gholamreza
  7. Abstract:
  8. Over the last two decades, anomalies in stock market have attracted attention of scholars and market practitioners. Existence of the anomalies, provide opportunity for gaining from positive return in the market. Momentum strategy is one of financial strategies that agents implement it in the stock market to get positive returns by buying stocks which were winner and making a short sell of the stocks that were loser in given period in the past. This study intends to examine, the profitability of the momentum strategy in the Toronto Stock Exchange in comparison with the returns of a risk free asset. Selection of risky assets in the portfolio are chosen based on the momentum strategy for one month to 12 months and the excess return effect on risky options in these assets will be tested by means of the Fama and French three-factor model (1993). The working sample includes 150 companies listed in the Toronto Stock Exchange of Canada over the beginning of year 2009 to the end of 2015. Our results show that although the selected portfolio based on the momentums of 4, 8 and 9 months yields positive and significant returns, the selected stocks does not make abnormal returns, and the existed positive returns are explained by the presence risk in market
  9. Keywords:
  10. Momentum Strategy ; Fama and French Three Factor Model ; Stock Market ; Capital Market ; Portfolio ; Excess Return over Risk

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