The Relationship between Excess Return of the Momentum Strategy and Systematic Risk in Tehran Stock Exchange

Profit is one of the most important factors that encourage investors to invest in the Stock Exchange. Because of the uncertainty in the stock market and its impact on investment, in this study, the importance of momentum strategies (momentum) was discussed. To this end, 48 companies listed in Tehran Stock Exchange for a period of 6 years from 1387 to 1392 were studied. The results of the analysis show that the majority of the securities portfolio trading strategies winner than a loser portfolio shows systemic risk. Also in the six-month period the highest excess returns from deployment strategy has created momentum in the course of the relationship between systemic risk and efficiency is very strong.