Enhancing momentum investment strategy: using leverage, over-leverage and under-leverage and asset growth rate
Subject Areas : Stock Exchange
Davood Shahbazi
1
,
Ahmad Yaghoobnezhad
2
,
Gholamreza Zomorodian
3
,
Mahdi Madanchi Zaj
4
,
Shadi Shahverdiani
5
1 - Department of Finance, Science and Research Branch, Islamic Azad University, Tehran, Iran
2 - Department of Accounting, Central Tehran Branch, Islamic Azad University, Tehran, Iran(Invited Lecturer of Tehran Science and Research branch)
3 - Department of Finance, Central Tehran Branch, Islamic Azad University, Tehran, Iran
4 - Department of Financial Management, Central Tehran Branch, Islamic Azad University, Tehran, Iran
5 - Department of Business Administration. Shahr -e- Quds Branch, Islamic Azad university, Tehran, Iran
Keywords: investment strategy ", "single-criteria portfolio ", "combined portfolio ", "overleverage and underleverage,
Abstract :
Investment decisions are examined based on financial concepts that are based on the efficient market hypothesis. Considering the confirmation of the complete inefficiency of Iran's capital market, there is an expectation of obtaining more returns. In this research, we seek to introduce investment portfolios based on the momentum investment strategy (which has been confirmed in various studies) and its combination with other factors affecting the company's value and profitability. Based on this, 119 companies were investigated in the period of 1388 to 1400 in three short-term periods of three and six months and medium-term of one year. According to the findings, the average returns obtained from the formation of different combined portfolios are positive in all periods and the returns of the combined portfolios are higher than the single-criteria portfolios. The investment strategy based on the asset growth rate and momentum in the short-term periods of three and six months and the medium-term of one year has the highest average return, then the strategy based on over-leverage and under-leverage and momentum and finally the strategy based on leverage
