A Comparative Study of the Combination of Dual Price and Fundamental Momentums in Companies with Different Fundamental Levels for the Strategy of Winners and Losers of the Capital Market

Forecasting approaches to stock price are one of the most important issues for investors. Price momentum shows that past stock price performance predicts future performance for future periods of 3 to 12 months. However, fundamental momentum is a new reciprocal approach that bilaterally analyzes price momentum and fundamental momentum. Thus, the financial literature has tried to explore whether it reinforces the effect of momentum strategy. Accordingly, the present study aimed to comparatively investigate the combination of dual price and fundamental momentums in companies with different fundamental levels for the strategy of winners and losers of the capital market. This study was an applied research with a correlation approach. The necessary data were collected from the statistical population, including 210 companies listed on Tehran Stock Exchange (TSE) from 2007 to 2019. The data were collected by using a combined, cross-sectional, and time-series method and analyzed by FAMA regression and Macbeth. The results showed that the effect of dual price and fundamental momentums as a dual strategy was more substantial than the price momentum for the losers and strengthened the capital market for the winners. As a political recommendation, a combination of the dual momentums of price and fundamentals can differentiate between past performance drivers.