Abstract:
Recently, understanding the anomalies in financial markets have severely chal-lenged 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 modeling 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 behavioral level, the background factors in the social, macroeconomics, and mar-ket levels, the intervening factors in the global economics, macroeconomics, mar-ket, 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 attrac-tion and allocation of liquid capitals, the reduced credit risk of brokerages, and the acceleration of liquidation in the market.
Machine summary:
The present research strives for modelling the price momentum of winner stock in the Iranian capital market.
The research findings identified the momentum causal factors in the behavioural level, the background factors in the social, macroeco- nomics, 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 conse- quences factors in market level.
The qualita- tive grounded theory approach is adopted in this study to model and explain the winner stock momen- tum in the Iranian capital market.
Explain- ing the model by using grounded theory research can give useful information to the spectrum of mar- ket users about identifying and controlling anomaly behaviors including the momentum phenomenon.
In the research literature, the following factors are introduced as the determinants of momentum: business cycles [1,13], monetary policies [28,30], the role of the industry [48], state of the market [16], infor- mation uncertainty [4, 36, 39, 47, 63], corporate innovation [61,57], systemic risk [23,62], , stock li- quidity [6,18], company size [11,49], industry type [8], real investor [53,35], dividends [3,24], media role [31], investor’s optimism [2,30], underreaction [38], overreaction [32], and investor group behav- ior [9,19].
Fuertes, Miffre and Tan [23] introduced high systemic risk and Wu [62] introduced small company size, while Moskowitz and Grinblatt [52] and Chan [11] introduced other corporate factors influencing the stock price momentum.
, Profitability of momentum strategies in international markets: The role of business cycle variables and behavioural biases, Journal of Banking & Finance, 2007, 31(3), P.