Default Risk and Momentum Effect; Some Evidence from Tehran Stock Exchange

Autor:	Maysam Ahmadvand, Seyedeh Mahboobeh Jafari, Hamidreza Kordlouie
Jazyk:	angličtina
Rok vydání:	1999
Předmět:	momentum effect default risk asset valuation tehran stock exchange Finance HG1-9999 Capital. Capital investments HD39-40.7
Zdroj:	Iranian Journal of Finance, Vol 1, Iss 1, Pp 29-46 (1999)
Druh dokumentu:	article
ISSN:	2676-6337 2676-6345
DOI:	10.22034/ijf.2017.58445
Popis:	The purpose of this paper is to analyze the relationship between default risk and momentum effect using data from companies listed on Tehran Stock Exchange.To calculate default risk,we used Black-Scholes-Merton (BSM) option pricing model. To describe momentum effect, by determining the formation period to be 6 months, and the holding period to be 3,6, or 12 months, we firstlyexamined the profitability of short term (3/6), midterm (6/6), and long term (12/6) momentum strategies and found that during 2010-2015 time period, only midterm momentum strategy is profitable.Then,we showedthere is no relationship between default risk andmomentum effect.
Databáze:	Directory of Open Access Journals
Externí odkaz:	https://doaj.org/article/c815c47cbd654cf3abf727fd855c1769 Zobrazit plný text záznamu View record in DOAJ