Stock Price Momentum Modelling: A Grounded Theory Approach

Recently, understanding the anomalies in financial markets have severely challenged the efficient market hypothesis (emh). the price momentum is one of the anomalies described as the unexplained short-term return by fama and french 1996. the present research strives for modelling the price momentum of winner stock in the iranian capital market. the grounded theory method was used to explain this phenomenon. to this end, in-depth interviews were held with 32 experts operating in the professional and academic fields in 2018. the collected data was encoded in three steps, and the results were presented as a conceptual paradigm. the research findings identified the momentum causal factors in the behavioural 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 research findings suggest that the winner stock price momentum phenomenon should not be considered a speculation opportunity. rather, it is an anomaly that has to be regulated with the proposed strategies according to the experts. the consequences of the adoption of these strategies include the stable and normal income for the market actors, the decrease in the loss inflicted on natural persons due to the market volatility, the management of anomalies, more effective attraction and allocation of liquid capitals, the reduced credit risk of brokerages, and the acceleration of liquidation in the market.