The relationship between financial distress risk and momentum anomaly in Tehran stock exchange
Author(s):
Article Type:
Research/Original Article (دارای رتبه معتبر)
Abstract:
This paper is to study the relationship between momentum effect (continuation of prior returns) and financial distress risk using data from companies listed on Tehran stock exchange during 31/01/1387-31/04/1393. In this research, financial distress risk was calculated by the second version of Altman Z-Score 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), midterm (6/6), and long term (12/6) momentum strategies and found that during abovementioned time period, only midterm momentum strategy was profitable. Then, we showed that momentum anomaly was driven by market under-reaction to financial distress risk. In other words, it can be said that momentum is proxying for distress risk, and is largely subsumed by distress risk factor.
Keywords:
Language:
Persian
Published:
Financial Knowledge of Securities Analysis, Volume:11 Issue: 38, 2018
Pages:
43 to 55
https://magiran.com/p1839843
دانلود و مطالعه متن این مقاله با یکی از روشهای زیر امکان پذیر است:
اشتراک شخصی
با عضویت و پرداخت آنلاین حق اشتراک یکساله به مبلغ 1,390,000ريال میتوانید 70 عنوان مطلب دانلود کنید!
اشتراک سازمانی
به کتابخانه دانشگاه یا محل کار خود پیشنهاد کنید تا اشتراک سازمانی این پایگاه را برای دسترسی نامحدود همه کاربران به متن مطالب تهیه نمایند!
توجه!
- حق عضویت دریافتی صرف حمایت از نشریات عضو و نگهداری، تکمیل و توسعه مگیران میشود.
- پرداخت حق اشتراک و دانلود مقالات اجازه بازنشر آن در سایر رسانههای چاپی و دیجیتال را به کاربر نمیدهد.
In order to view content subscription is required
Personal subscription
Subscribe magiran.com for 70 € euros via PayPal and download 70 articles during a year.
Organization subscription
Please contact us to subscribe your university or library for unlimited access!