Title of article
Default Risk and Momentum Effect; Some Evidence from Tehran Stock Exchange
Author/Authors
Ahmadvand, Maysam Allameh Tabatabaei University , Jafari, Mahboobeh Islamic Azad University, South Tehran Branch , Kordlouie, Hamidreza Islamic Azad University - Islamshahr Branch
Pages
18
From page
29
To page
46
Abstract
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.
Keywords
Momentum effect , Default risk , Asset valuation , Tehran Stock Exchange
Journal title
Iranian Journal of Finance (IJFIFSA)
Serial Year
2017
Record number
2509178
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