Stock Price Momentum Modeling: A Grounded Theory Approach

سال انتشار: 1399
نوع سند: مقاله ژورنالی
زبان: انگلیسی
مشاهده: 189

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شناسه ملی سند علمی:

JR_AMFA-5-2_003

تاریخ نمایه سازی: 20 تیر 1400

چکیده مقاله:

  Recently, understanding the anomalies in financial markets have severely chal-lenged the efficient market hypothesis (EMH). The price momentum is one of the anomalies described as the unexplained short-term return by Fama and French (۱۹۹۶). The present research strives for modeling the price momentum of winner stock in the Iranian capital market. The grounded theory method was used to explain this phenomenon. To this end, in-depth interviews were held with ۳۲ experts operating in the professional and academic fields in ۲۰۱۸. The collected data was encoded in three steps, and the results were presented as a conceptual paradigm. The research findings identified the momentum causal factors in the behavioral level, the background factors in the social, macroeconomics, and mar-ket levels, the intervening factors in the global economics, macroeconomics, mar-ket, and company levels, and the strategies in the social, macroeconomics, market, the investment and finances institutions, and consequences factors in market level. The research findings suggest that the winner stock price momentum phenomenon should not be considered a speculation opportunity. Rather, it is an anomaly that has to be regulated with the proposed strategies according to the experts. The consequences of the adoption of these strategies include the stable and normal income for the market actors, the decrease in the loss inflicted on natural persons due to the market volatility, the management of anomalies, more effective attrac-tion and allocation of liquid capitals, the reduced credit risk of brokerages, and the acceleration of liquidation in the market.

نویسندگان

Mehdi Elhaei Sahar

Department of Accounting, Ahvaz Branch, Islamic Azad University, Ahvaz, Iran

Rezvan Hejazi

Department of Accounting, Ahvaz Branch, Islamic Azad University, Ahvaz, Iran

Allah karam Salehi

Department of Accounting, Ahvaz Branch, Islamic Azad University, Ahvaz, Iran

Hossein Moltafet

Department of Accounting, Ahvaz Branch, Islamic Azad University, Ahvaz, Iran

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