Abstract:
The purpose of this study is to compare the impacts of momentum on stock returns of companies listed in Tehran Stock Exchange in different market conditions. For this purpose, the sample size is 120 months from 2008 to 2017. The research hypotheses are estimated using multivariate linear regression using time series method. Based on the results of the hypotheses test, the momentum in each of the market conditions, including normal, ascending and descending conditions, has a positive and direct effect on the stock returns of the companies listed in Tehran Stock Exchange, which indicates the principle of investors' insatiability in the stock exchange Tehran seeking to maximize its return on investment with a certain risk that in a downside mode of market, their insatiability exits less and faster than their momentum conditions, which is a reason for investors' loss evasion in this situation.
Machine summary:
In fact, if the assumptions of the research are confirmed, investors in the Tehran Stock Exchange can not only maximize returns using the momentum strategy, but it can also be admitted that stock returns in different market conditions have a pattern and behavior that results in a sustained return to a certain period of the future, which is considered as an attractive research consideration in contrast to market efficiency.
The used research hypotheses in this study are stated as follows: Hypothesis 1: Momentum in normal market conditions affects the stock return of companies listed in Tehran Stock Exchange.
53) %%انتهای جدول%%] 5 Conclusions Based on the results of the first hypothesis test, momentum in normal market conditions has a direct and positive impact on the stock return of companies listed in Tehran Stock Exchange and its impact is 2.
Based on the results of the second hypothesis test, momentum in upside market conditions has a direct and positive impact on the stock return of companies listed in Tehran Stock Exchange and its impact is 4.
Based on the results of the third hypothesis test, momentum in downside market conditions has a direct and positive impact on the stock return of companies listed in Tehran Stock Exchange and its impact is 1.