A Study on the Performance of the Momentum Strategy in the Tehran Stock Exchange

Modern portfolio theory, which is based on the efficient market hypothesis and rational economic behavior, suggests that stock prices undergo random changes and that it is not possible to achieve predictable returns through a specific strategy. However, recent studies have challenged many of the hypotheses and theories on which financial experts have based their research for many years. One of the most challenging observations in financial markets is the momentum investment strategy. This strategy proposes that stocks which have demonstrated strong performance in the past will continue to do so in the future, while those that have performed poorly will continue to underperform. It is important to note that this is not a guarantee and that past performance is not always indicative of future results. This contradicts the efficient market hypothesis, as common stock returns exhibit specific behaviors in various intervals.  This study examines the accuracy of the momentum investment strategy's profitability in the Tehran Stock Exchange over various periods, including one-month, three-month, six-month, one-year, and two-year periods. The study confirms the superiority of the momentum strategy's performance over the contrarian strategy and market performance, but only in the one-month period.

کلیدواژه ها:

Momentum Strategy ، Contrarian Strategy ، Formation Period ، Holding Period ، Winner Portfolio ، Loser Portfolio