Abstract
Basically, investors in general and investors in securities including shares or bonds, in particular, are always looking for reliable and reasonable models that can help them choosing the number and time of the transaction of purchase and sale of their investments in order to maximize yields and guide them properly. In the last century with the development of financial markets, especially the stock market and more diversified securities of transactions in these markets, and more participation of larger groups of people in stock, their demands have become more important. Two important and widely used strategies among analysts include reverse and momentum strategies which against each other. They predict future performance using past performance. Momentum strategy believes that recent trends continue, but reverse strategy believes that recent trends will return.In this study conducted in a six-year period between 2009 and 2014 and its portfolio is made up, the results of this study in the Tehran Stock Exchange which has been due to two hypotheses showed that the mean abnormal return of loser and winner portfolios are positive and negative, respectively, and hypotheses have been confirmed.
Highlights
Each investor when entering the capital market is looking to find and use strategies to be able to win the market and gain excess returns
- In research conducted by Narasimhanjegadeesh in the annual period between 1929 to 1982, which were identified in it, 10% of the winner portfolio and 10% of the loser portfolio showed that the antithetic strategy acts right in the long term
The results show that the amount of abnormal returns (RET -Rf) in the loser portfolio is positive and equal to 127.394, and in the winner portfolio group, it is negative and equal to -132.616
Summary
Each investor when entering the capital market is looking to find and use strategies to be able to win the market and gain excess returns. Momentum is a concept in physics which states that a moving object tends to stay in motion, unless an external force is exerted on it which is the same as Newton's first law. The example of this concept in capital market is that a price trend tends to stay the same until an external force stops it. To achieve excess returns, we have to be patient and act with courage in the opposite direction of the market. These strategies seek to identify trends using different criteria and enjoying them
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