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Default Risk and Momentum Effect; Some Evidence from Tehran Stock Exchange
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نویسنده
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ahmadvand maysam ,jafari mahboobeh ,kordlouie hamidreza
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منبع
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iranian journal of finance - 2017 - دوره : 1 - شماره : 1 - صفحه:29 -46
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چکیده
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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 firstly examined the profitability of short term (3/6), mid term (6/6), and long term (12/6) momentum strategies and found that during 2010-2015 time period, only mid term momentum strategy is profitable.then, we showed there is no relationship between default risk and momentum effect.
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کلیدواژه
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Momentum effect ,Default risk ,Asset valuation ,Tehran Stock Exchange.
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آدرس
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allameh tabatabaei university, iran, islamic azad university, south tehran branch, iran, islamic azad university, islamshahr branch, iran
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پست الکترونیکی
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hamidreza.kordlouie@gmail.com
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Authors
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