تبیین شتاب قیمت سهام برنده در ایران
محورهای موضوعی : بازارها و نهادهای مالی
مهدی الهائی سحر
1
(گروه حسابداری، واحد اهواز، دانشگاه آزاد اسلامی، اهواز، ایران)
رضوان حجازی
2
(گروه حسابداری، واحد اهواز، دانشگاه آزاد اسلامی، اهواز، ایران/گروه حسابداری، دانشگاه خاتم، تهران، ایران)
اله کرم صالحی
3
(گروه حسابداری، دانشکده علوم انسانی، واحد مسجدسلیمان، دانشگاه آزاداسلامی، مسجدسلیمان، ایران)
حسین ملتفت
4
(گروه حسابداری، واحد اهواز، دانشگاه آزاد اسلامی، اهواز، ایران/دانشکده اقتصاد و علوم اجتماعی، دانشگاه شهید چمران، اهواز، ایران)
کلید واژه: بازار سرمایه ایران, شتاب قیمت سهام برنده, نظریه برخاسته از داده,
چکیده مقاله :
اخیراً شناخت رفتارهای خلاف قاعده در بازارهای مالی، فرض کارایی را شدیداً به چالش کشانده است. شتاب قیمت یکی از آن خلاف قاعده‌هایی است که فاما و فرنچ (1996) از آن به عنوان "بازده کوتاه‌مدت توضیح داده نشده" یاد کردند. هدف این پژوهش الگوسازی پدیده شتاب سهام برنده در بازار سرمایه ایران می‌باشد. به منظور توضیح پدیده مذکور از روش کیفی نظریه برخاسته از داده و ابزار مصاحبه استفاده گردید. بدین صورت، با 32 نفر از صاحب‌نظران فعال در دو طیف حرفه‌ای و دانشگاهی در سال 1397 مصاحبه‌های عمیق انجام گرفت. در این پژوهش داده‌های گردآوری شده در سه مرحله کد‌گذاری، سپس نتایح به صورت الگوی پارادایمی کمی شده با روش رتبه بندی سلسله مراتب فازی و روایت یک داستان ارایه گردیده است. یافته‌های پژوهش، عوامل عِلی شتاب را در سطح رفتاری؛ عوامل بستری را در سه سطح جامعه، اقتصاد کلان و بازار؛ عوامل مداخله‌گر را در چهار سطح اقتصاد جهانی، اقتصاد کلان، بازار و شرکت؛ راهبردها نیز در چهار سطح جامعه، اقتصاد کلان، بازار و نهادهای سرمایه‌گذاری و مالی و پیامدها در سطح بازار، کشف کردند.نتایج پژوهش نشان می دهد به‌منظور توسعه بازار نباید به پدیده شتاب سهام برنده به‌عنوان یک فرصت سفته‌بازی نگاه کرد بلکه خلاف قاعده‌ای است که از نظر خبرگان با راهبردهای ارایه شده، می بایست تعدیل گردد.
Lately, the anomalies in capital markets have severely challenged the efficient hypothesis. The winner stock momentum is one of the anomalies called the unexplained short-term return by Fama and French (1996). The current study attempts for explaining the winner stock momentum in the Iranian capital market. The grounded theory method was used to explain wining stock momentum. To this end, in-depth interviews were held with 32 specialists working in the professional and academic grounds in 2018. The collected data were encoded in three stages, and the results were presented as a conceptual paradigm. Then, to quantify the model by the fuzzy analytic hierarchy process, a pairwise comparison questionnaire was distributed among the specialists. The research results are presented as a qualitative-quantitative model and the story extracted by grounded theory.The study discoveries recognized the momentum causal factors in the behavioral level, the background factors in the social, macroeconomics, and market levels, the intervening factors in the global economics, macroeconomics, market, and company levels, and the strategies in the social, macroeconomics, market, the investment and finances institutions, and consequences factors in market level.The study results propose that the winner stock momentum phenomenon must not be considered a speculation opportunity. Rather, it is an anomaly that has to be controlled with the suggested strategies.
Antoniou, A., Lam, H. Y., & Paudyal, K. (2007). Profitability of momentum strategies in international markets: The role of business cycle variables and behavioural biases. Journal of Banking & Finance, 31(3), 955-972.
Antoniou, C., Doukas, J. A., & Subrahmanyam, A. (2013). Cognitive dissonance, sentiment, and momentum. Journal of Financial and Quantitative Analysis, 48(1), 245-275.
Asem, Ebenezer., (2009). Dividends and price momentum. Journal of Banking & Finance, 33. 486–494.
Avramov, Doron and Hore., Satadru. (2008). Momentum, Information Uncertainty, and Leverage -an Explanation Based on Recursive Preferences. Working paper.
Badri, Ahmad; Doloo, Mary; Aghajani, Forough (2018). Source of momentum generation; Evidence of Risk Adjustment, Financial Management Perspective, Volume 8, Number23. [In Persian].
Badri, Ahmad; Fath Elahi, Fawad (2014). Momentum Return: Evidence from Tehran Stock Exchange, Investment Knowledge, Volume 3, Number 9. [In Persian].
Barberis N, Shleifer A, Vishny R. (1998). A model of investor sentiment. J. Financ. Econ. 49:307–343
Bettman, Jenni L., Sault, Stephen J. and Reibnitz., Anna H. von. (2010). The impact of liquidity and transaction costs on the 52-week high momentum strategy in Australia. Australian Journal of Management, 35(3) 227–244
Biglova, Almira., Rachev, Svetlozar., Stoyanov, Stoyan and Ortobelli, Sergio. (2009). Analysis of the Factors Influencing Momentum Profits. Working paper.
Blitz, D., Huij, J., & Martens, M. (2011). Residual momentum. Journal of Empirical Finance, 18(3), 506-521.
Boni, L., & Womack, K. (2006). Analysts, Industries, and Price Momentum. Journal of Financial and Quantitative Analysis, 41(1), 85-109.
Brown, N. C., Wei, K. D., & Wermers, R. (2013). Analyst recommendations, mutual fund herding, and overreaction in stock prices. Management Science, 60(1), 1-20.
Chan, L.K.C., Jegadeesh, N., Lakonishok, J. (1996). Momentum strategies. The Journal of Finance, 51, 1681–1713.
Chan, W.S. (2003). Stock price reaction to news and no-news: Drift and reversal after headlines. Journal of Financial Economics, 70, 223-260.
Chong, T. T. L., & Ip, H. T. S. (2009). Do momentum-based strategies work in emerging currency markets? Pacific-Basin Finance Journal, 17(4), 479-493.
Chordia, T., and L. Shivakumar. (2002). Momentum, Business Cycle and Time-Varying Expected Returns. Journal of Finance, 57, 985–1019.
Chui, A. C., Titman, S., & Wei, K. J. (2003). Intra-industry momentum: the case of REITs. Journal of Financial Markets, 6(3), 363-387.
Cooper, M. J., R. Gutierrez Jr., and A. Hameed. (2004). Market States and Momentum. Journal of Finance, 59, 1345–1365.
Daniel, K., D. Hirshleifer, and A. Subrahmanyam. (1998). Investors, Psychology and Security Market Under- and Overreactions. Journal of Finance, 53, 1839–1885.
Demir I, Muthuswamy J and Walter T. (2004). Momentum returns in Australian equities: the influences of size, risk, liquidity and return computation. Pacific-Basin Finance Journal, 12: 143–158.
Demirer, R., Lien, D., & Zhang, H. (2015). Industry herding and momentum strategies. Pacific-Basin Finance Journal, 32, 95-110.
Edwards W. (1968). Conservatism in human information processing. In Formal Representation of Human Judgement, ed. B Kleimutz. New York: Wiley.
Fadaeinejad, Mohammad Ismail; Sadeghi, Mohsen (2006). Investigating the usefulness of momentum and reverse strategies in Tehran Stock Exchange. Management Message Quarterly, Year 5. No. 17. [In Persian].
Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of financial economics, 33(1), 3-56.
Fama, E. F., & French, K. R. (1996). Multifactor explanations of asset pricing anomalies. The journal of finance, 51(1), 55-84.
Fuertes, A. M., Miffre, J., & Tan, W. H. (2009). Momentum profits, nonnormality risks and the business cycle. Applied Financial Economics, 19(12), 935-953.
Fuller, K., Goldstein, M. (2006). Do dividends matter more in declining markets? Working paper, University of Georgia.
Gebhardt, W. R., Hvidkjaer, S., & Swaminathan, B. (2005). Stock and bond market interaction: Does momentum spill over?. Journal of Financial Economics, 75(3), 651-690.
George, T. J., & Hwang, C. Y. (2004). The 52‐week high and momentum investing. The Journal of Finance, 59(5), 2145-2176.
Goebel, P. R., Harrison, D. M., Mercer, J. M., & Whitby, R. J. (2013). REIT momentum and characteristic-related REIT returns. The Journal of Real Estate Finance and Economics, 47(3), 564-581.
Gorton, G. B., F. Hayashi, and G. K. Rouwenhorst. (2013). The Fundamentals of Commodity Futures Returns. Review of Finance, 17, 35–105.
Grundy BD, Martin SJ. (2001). Understanding the nature of risks and the sources of rewards to momentum investing. Rev. Financ. Stud. 14:29–78
Hao, Y., Chu, H. H., Ko, K. C., & Lin, L. (2016). Momentum strategies and investor sentiment in the REIT market. International Review of Finance, 16(1), 41-71.
Hillert, A., Jacobs, H., & Müller, S. (2014). Media makes momentum. The Review of Financial Studies, 27(12), 3467-3501.
Hong, H., & Stein, J. C. (1999). A unified theory of underreaction, momentum trading, and overreaction in asset markets. The Journal of finance, 54(6), 2143-2184.
Hung, S., and J. Glascock. (2008). Momentum Profitability and Market Trend: Evidence from REITs. Journal of Real Estate Finance and Economics, 37, 51–69.
Hur, J., & Singh, V. (2016). Reexamining momentum profits: Underreaction or overreaction to firm-specific information? Review of Quantitative Finance and Accounting, 46(2), 261-289.
Hur, J., Pritamani, M., & Sharma, V. (2010). Momentum and the disposition effect: the role of individual investors. Financial Management, 39(3), 1155-1176.
Islami Bidgoli. Gholamreza; Nabavi Chashmi. Sayed Ali; Yahya Zadehfar. Mahmood; Iykani. Sadegh (2010). Investigating the profitability of momentum investment strategy in Tehran Stock Exchange. Quarterly Journal of Quantitative Studies in Management, Year 1. No. 1. [In Persian].
Jegadeesh N, Titman S. (2001). Profitability of momentum strategies: an evaluation of alternative explanations. Journal of Finance. 56:699–720.
Jegadeesh, N., and S. Titman. (1993). Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency. Journal of Finance, 48, 65–91.
Jegadeesh, N., and S. Titman. (2011). Momentum. Annual Review of Financial Economics, 3, 493–509.
Johnson, T. C. (2002). Rational Momentum Effects. Journal of Finance, 57(2),585–608.
Jostova, G., N. Statnislava, P. Alexander, and C. W. Stahel. (2013). Momentum in Corporate Bond Returns. Review of Financial Studies, 26, 1649–1693.
Kahneman, D. (1982). The simulation heuristic. in d. kahneman, p. slovic, & a. tversky (eds.), Judgment under uncertainty: Heuristics and biases (pp. 201-208).
Kahneman, D., and A. Tversky. (1979). Prospect Theory: An Analysis of Decision under Risk. Econometrica. Journal of the Econometric Society, 47, 263–292.
Kim, D., Roh, T.-Y., Min, B.-K., & Byun, S.-J. (2014). Time-varying expected momentum profits. Journal of Banking & Finance, 49, 191-215.
Lai, H. H., & Lin, S. H. (2020). White lie effects of information asymmetry on stock momentum. Heliyon, 6(4), e03816.
Lee, C., & Swaminathan, B. (2000). Price momentum and trading volume. The Journal of Finance, 55(5), 2017-2069.
Lewellen, J. (2002). Momentum and autocorrelation in stock returns. The Review of Financial Studies, 15(2), 533-564.
Liu, L. X., & Zhang, L. (2008). Momentum profits, factor pricing, and macroeconomic risk. The Review of Financial Studies, 21(6), 2417-2448.
Mengoli, S. (2004). On the source of contrarian and momentum strategies in the Italian equity market. International Review of Financial Analysis, 13(3), 301-331.
Menkhoff, L., L. Sarno, M. Schmeling, and A. Schrimpf. (2012). Currency Momentum Strategies. Journal of Financial Economics, 106, 660–684.
Miffre, J., and G. Rallis. (2007). Momentum Strategies in Commodity Futures Markets. Journal of Banking and Finance, 31, 1863–1886.
Moskowitz, T. J., & Grinblatt, M. (1999). Do industries explain momentum? The Journal of Finance, 54(4), 1249-1290.
Odean, T., (1998) Are Investors Reluctant to Realize Their Losses? Journal of Finance, 53, 1775-1798.
Okunev, J., and D. White. (2003). Do Momentum-Based Strategies Still Work in Foreign Currency Markets? Journal of Financial and Quantitative Analysis, 38, 425–447.
Pani, B., & Fabozzi, F. J. (2021). Finding Value Using Momentum. The Journal of Portfolio Management.
Parhizgari, A. M., and D. Nguyen. (2008). ADRs under Momentum and Contrarian Strategies. Global Finance Journal, 19, 102–122.
Pour Zamani, Zahra; Arzi, Hadith (2016). Comparison of the effects of spread economic value added and momentum economic value added on stock returns. Journal of Management Accounting, Year 9. No. 29. [In Persian].
Qalibaf Asl, Hassan; Shams, Shahabuddin; Sadevand, Mohammad Javad (2010). Investigating the additional returns of the profit and price acceleration strategy in the Tehran Stock Exchange. Quarterly Journal of Accounting and Auditing Reviews, Year 3. No. 17. [In Persian].
Rahmani, Ali; Sarhangi, Hojjat (2011). Analysis of factors affecting stock return trading strategies. Financial Engineering and Securities Management, 3 (9), 79-104. [In Persian]
Sarwar, S. M., Lin, S. X., & Muradoǧlu, Y. G. (2018). Impact of Credit Risk and Business Cycles on Momentum Returns. In Handbook of Recent Advances in Commodity and Financial Modeling (pp. 17-39). Springer, Cham.
Stambaugh, R. F., J. Yu, and Y. Yuan. (2012). The Short of It: Investor Sentiment and Anomalies. Journal of Financial Economics, 104, 288–302.
Strobl, G. (2003). Information asymmetry, price momentum, and the disposition effect. Working paper.
Tan, Y. M., & Cheng, F. F. (2019). Industry-and liquidity-based momentum in Australian equities. Financial Innovation, 5(1), 1-18.
Thaler, R. H., & Shefrin, H. M. (1981). An economic theory of self-control. Journal of political Economy. 89(2), 392-406.
Turner, Scott F., Mitchell, Will and Bettis. Richard A. (2013). Strategic Momentum: How Experience Shapes Temporal Consistency of Ongoing Innovation. Journal of Management, Vol 39, Issue 7, pp. 1855 -1890.
Vassalou, Maria and Apedjinou., Kodjo. (2004). Corporate Innovation, Price Momentum, and Equity Returns. Working paper.
Wu, X. (2002). A conditional multifactor model of return momentum. Journal of Banking and Finance, 26,1675–1696.
Zhang, X. Frank. (2006). Information uncertainty and stock returns. Journal of Finance,61(1), 105-136.
_||_Antoniou, A., Lam, H. Y., & Paudyal, K. (2007). Profitability of momentum strategies in international markets: The role of business cycle variables and behavioural biases. Journal of Banking & Finance, 31(3), 955-972.
Antoniou, C., Doukas, J. A., & Subrahmanyam, A. (2013). Cognitive dissonance, sentiment, and momentum. Journal of Financial and Quantitative Analysis, 48(1), 245-275.
Asem, Ebenezer., (2009). Dividends and price momentum. Journal of Banking & Finance, 33. 486–494.
Avramov, Doron and Hore., Satadru. (2008). Momentum, Information Uncertainty, and Leverage -an Explanation Based on Recursive Preferences. Working paper.
Badri, Ahmad; Doloo, Mary; Aghajani, Forough (2018). Source of momentum generation; Evidence of Risk Adjustment, Financial Management Perspective, Volume 8, Number23. [In Persian].
Badri, Ahmad; Fath Elahi, Fawad (2014). Momentum Return: Evidence from Tehran Stock Exchange, Investment Knowledge, Volume 3, Number 9. [In Persian].
Barberis N, Shleifer A, Vishny R. (1998). A model of investor sentiment. J. Financ. Econ. 49:307–343
Bettman, Jenni L., Sault, Stephen J. and Reibnitz., Anna H. von. (2010). The impact of liquidity and transaction costs on the 52-week high momentum strategy in Australia. Australian Journal of Management, 35(3) 227–244
Biglova, Almira., Rachev, Svetlozar., Stoyanov, Stoyan and Ortobelli, Sergio. (2009). Analysis of the Factors Influencing Momentum Profits. Working paper.
Blitz, D., Huij, J., & Martens, M. (2011). Residual momentum. Journal of Empirical Finance, 18(3), 506-521.
Boni, L., & Womack, K. (2006). Analysts, Industries, and Price Momentum. Journal of Financial and Quantitative Analysis, 41(1), 85-109.
Brown, N. C., Wei, K. D., & Wermers, R. (2013). Analyst recommendations, mutual fund herding, and overreaction in stock prices. Management Science, 60(1), 1-20.
Chan, L.K.C., Jegadeesh, N., Lakonishok, J. (1996). Momentum strategies. The Journal of Finance, 51, 1681–1713.
Chan, W.S. (2003). Stock price reaction to news and no-news: Drift and reversal after headlines. Journal of Financial Economics, 70, 223-260.
Chong, T. T. L., & Ip, H. T. S. (2009). Do momentum-based strategies work in emerging currency markets? Pacific-Basin Finance Journal, 17(4), 479-493.
Chordia, T., and L. Shivakumar. (2002). Momentum, Business Cycle and Time-Varying Expected Returns. Journal of Finance, 57, 985–1019.
Chui, A. C., Titman, S., & Wei, K. J. (2003). Intra-industry momentum: the case of REITs. Journal of Financial Markets, 6(3), 363-387.
Cooper, M. J., R. Gutierrez Jr., and A. Hameed. (2004). Market States and Momentum. Journal of Finance, 59, 1345–1365.
Daniel, K., D. Hirshleifer, and A. Subrahmanyam. (1998). Investors, Psychology and Security Market Under- and Overreactions. Journal of Finance, 53, 1839–1885.
Demir I, Muthuswamy J and Walter T. (2004). Momentum returns in Australian equities: the influences of size, risk, liquidity and return computation. Pacific-Basin Finance Journal, 12: 143–158.
Demirer, R., Lien, D., & Zhang, H. (2015). Industry herding and momentum strategies. Pacific-Basin Finance Journal, 32, 95-110.
Edwards W. (1968). Conservatism in human information processing. In Formal Representation of Human Judgement, ed. B Kleimutz. New York: Wiley.
Fadaeinejad, Mohammad Ismail; Sadeghi, Mohsen (2006). Investigating the usefulness of momentum and reverse strategies in Tehran Stock Exchange. Management Message Quarterly, Year 5. No. 17. [In Persian].
Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of financial economics, 33(1), 3-56.
Fama, E. F., & French, K. R. (1996). Multifactor explanations of asset pricing anomalies. The journal of finance, 51(1), 55-84.
Fuertes, A. M., Miffre, J., & Tan, W. H. (2009). Momentum profits, nonnormality risks and the business cycle. Applied Financial Economics, 19(12), 935-953.
Fuller, K., Goldstein, M. (2006). Do dividends matter more in declining markets? Working paper, University of Georgia.
Gebhardt, W. R., Hvidkjaer, S., & Swaminathan, B. (2005). Stock and bond market interaction: Does momentum spill over?. Journal of Financial Economics, 75(3), 651-690.
George, T. J., & Hwang, C. Y. (2004). The 52‐week high and momentum investing. The Journal of Finance, 59(5), 2145-2176.
Goebel, P. R., Harrison, D. M., Mercer, J. M., & Whitby, R. J. (2013). REIT momentum and characteristic-related REIT returns. The Journal of Real Estate Finance and Economics, 47(3), 564-581.
Gorton, G. B., F. Hayashi, and G. K. Rouwenhorst. (2013). The Fundamentals of Commodity Futures Returns. Review of Finance, 17, 35–105.
Grundy BD, Martin SJ. (2001). Understanding the nature of risks and the sources of rewards to momentum investing. Rev. Financ. Stud. 14:29–78
Hao, Y., Chu, H. H., Ko, K. C., & Lin, L. (2016). Momentum strategies and investor sentiment in the REIT market. International Review of Finance, 16(1), 41-71.
Hillert, A., Jacobs, H., & Müller, S. (2014). Media makes momentum. The Review of Financial Studies, 27(12), 3467-3501.
Hong, H., & Stein, J. C. (1999). A unified theory of underreaction, momentum trading, and overreaction in asset markets. The Journal of finance, 54(6), 2143-2184.
Hung, S., and J. Glascock. (2008). Momentum Profitability and Market Trend: Evidence from REITs. Journal of Real Estate Finance and Economics, 37, 51–69.
Hur, J., & Singh, V. (2016). Reexamining momentum profits: Underreaction or overreaction to firm-specific information? Review of Quantitative Finance and Accounting, 46(2), 261-289.
Hur, J., Pritamani, M., & Sharma, V. (2010). Momentum and the disposition effect: the role of individual investors. Financial Management, 39(3), 1155-1176.
Islami Bidgoli. Gholamreza; Nabavi Chashmi. Sayed Ali; Yahya Zadehfar. Mahmood; Iykani. Sadegh (2010). Investigating the profitability of momentum investment strategy in Tehran Stock Exchange. Quarterly Journal of Quantitative Studies in Management, Year 1. No. 1. [In Persian].
Jegadeesh N, Titman S. (2001). Profitability of momentum strategies: an evaluation of alternative explanations. Journal of Finance. 56:699–720.
Jegadeesh, N., and S. Titman. (1993). Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency. Journal of Finance, 48, 65–91.
Jegadeesh, N., and S. Titman. (2011). Momentum. Annual Review of Financial Economics, 3, 493–509.
Johnson, T. C. (2002). Rational Momentum Effects. Journal of Finance, 57(2),585–608.
Jostova, G., N. Statnislava, P. Alexander, and C. W. Stahel. (2013). Momentum in Corporate Bond Returns. Review of Financial Studies, 26, 1649–1693.
Kahneman, D. (1982). The simulation heuristic. in d. kahneman, p. slovic, & a. tversky (eds.), Judgment under uncertainty: Heuristics and biases (pp. 201-208).
Kahneman, D., and A. Tversky. (1979). Prospect Theory: An Analysis of Decision under Risk. Econometrica. Journal of the Econometric Society, 47, 263–292.
Kim, D., Roh, T.-Y., Min, B.-K., & Byun, S.-J. (2014). Time-varying expected momentum profits. Journal of Banking & Finance, 49, 191-215.
Lai, H. H., & Lin, S. H. (2020). White lie effects of information asymmetry on stock momentum. Heliyon, 6(4), e03816.
Lee, C., & Swaminathan, B. (2000). Price momentum and trading volume. The Journal of Finance, 55(5), 2017-2069.
Lewellen, J. (2002). Momentum and autocorrelation in stock returns. The Review of Financial Studies, 15(2), 533-564.
Liu, L. X., & Zhang, L. (2008). Momentum profits, factor pricing, and macroeconomic risk. The Review of Financial Studies, 21(6), 2417-2448.
Mengoli, S. (2004). On the source of contrarian and momentum strategies in the Italian equity market. International Review of Financial Analysis, 13(3), 301-331.
Menkhoff, L., L. Sarno, M. Schmeling, and A. Schrimpf. (2012). Currency Momentum Strategies. Journal of Financial Economics, 106, 660–684.
Miffre, J., and G. Rallis. (2007). Momentum Strategies in Commodity Futures Markets. Journal of Banking and Finance, 31, 1863–1886.
Moskowitz, T. J., & Grinblatt, M. (1999). Do industries explain momentum? The Journal of Finance, 54(4), 1249-1290.
Odean, T., (1998) Are Investors Reluctant to Realize Their Losses? Journal of Finance, 53, 1775-1798.
Okunev, J., and D. White. (2003). Do Momentum-Based Strategies Still Work in Foreign Currency Markets? Journal of Financial and Quantitative Analysis, 38, 425–447.
Pani, B., & Fabozzi, F. J. (2021). Finding Value Using Momentum. The Journal of Portfolio Management.
Parhizgari, A. M., and D. Nguyen. (2008). ADRs under Momentum and Contrarian Strategies. Global Finance Journal, 19, 102–122.
Pour Zamani, Zahra; Arzi, Hadith (2016). Comparison of the effects of spread economic value added and momentum economic value added on stock returns. Journal of Management Accounting, Year 9. No. 29. [In Persian].
Qalibaf Asl, Hassan; Shams, Shahabuddin; Sadevand, Mohammad Javad (2010). Investigating the additional returns of the profit and price acceleration strategy in the Tehran Stock Exchange. Quarterly Journal of Accounting and Auditing Reviews, Year 3. No. 17. [In Persian].
Rahmani, Ali; Sarhangi, Hojjat (2011). Analysis of factors affecting stock return trading strategies. Financial Engineering and Securities Management, 3 (9), 79-104. [In Persian]
Sarwar, S. M., Lin, S. X., & Muradoǧlu, Y. G. (2018). Impact of Credit Risk and Business Cycles on Momentum Returns. In Handbook of Recent Advances in Commodity and Financial Modeling (pp. 17-39). Springer, Cham.
Stambaugh, R. F., J. Yu, and Y. Yuan. (2012). The Short of It: Investor Sentiment and Anomalies. Journal of Financial Economics, 104, 288–302.
Strobl, G. (2003). Information asymmetry, price momentum, and the disposition effect. Working paper.
Tan, Y. M., & Cheng, F. F. (2019). Industry-and liquidity-based momentum in Australian equities. Financial Innovation, 5(1), 1-18.
Thaler, R. H., & Shefrin, H. M. (1981). An economic theory of self-control. Journal of political Economy. 89(2), 392-406.
Turner, Scott F., Mitchell, Will and Bettis. Richard A. (2013). Strategic Momentum: How Experience Shapes Temporal Consistency of Ongoing Innovation. Journal of Management, Vol 39, Issue 7, pp. 1855 -1890.
Vassalou, Maria and Apedjinou., Kodjo. (2004). Corporate Innovation, Price Momentum, and Equity Returns. Working paper.
Wu, X. (2002). A conditional multifactor model of return momentum. Journal of Banking and Finance, 26,1675–1696.
Zhang, X. Frank. (2006). Information uncertainty and stock returns. Journal of Finance,61(1), 105-136.
