Impact of Momentum on Stock Returns in Different Market Conditions

Document Type : Research Paper


1 Department of Accounting,South Tehran Branch,Islamic Azad University,Tehran,Iran

2 Department of Accounting, faculty of accounting,Islamic Azad University, Tehran, Iran.

3 economic and accounting,Azad university-South of tehran branch



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.


Main Subjects

[1] Ahmadi, R., Kordloei, H., The Effect of Financial Distress on the Investment Behavior of Companies Listed on Tehran Stock Exchange, Advances in mathematical finance & applications, 2018, 3(4), P. 17-28.
 DOI: 10.22034/amfa.2019.565459.1108.
[2] Asem, E., Dividends and price momentum, Journal of Banking & Finance, 2009, 33(3), P. 486-494. DOI: 10.1016/j.jbankfin.2008.09.004.
[3] Baltzer, M., Jank, S., Smajlbegovic, E., Who trades on momentum? Journal of Financial Markets, 2019, 42, P. 56-74. DOI: 10.1016/j.finmar.2018.08.003.
[4] Bolton, J., Boetticher, S., Von, T., Momentum trading on the Johannesburg Stock Exchange Stock Exchange after the Global Financial Crisis, Procedia Economics and Finance, 2015, 24, P.83-92. DOI: 10.1016/S2212-5671(15)00619-X.
[5] Chang, R. P., Ko, K.C., Nakano, S., Rhee, S.G., Residual momentum in japan, Journal of Empirical Finance, 2018, 45, P. 283-299. DOI: 10.1016/j.jempfin.2017.11.005.
[6] Chen, J.L(Alex)., Hwang, H(David)., Business cycle, expected return and momentum payoffs, Finance Research Letters, 2019, 29, p. 83-89. DOI: 10.1016/
[7] Chou, P.H., Ko, K.C., Yang, N.T., Asset growth, style investing, and momentum, Journal of Banking & Finance, 2019, 98, P.108-124. DOI: 10.1016/j.jbankfin.2018.11.008.
[8] Fadaiy Nejad, M.I., Sadeghi, M., Study of the Utility of Momentum and Reverse Strategies, Management Message, 2006, 18, P. 7-31.
[9] Jokar, H., Shamsaddini, K., Daneshi, V., Investigating the Effect of Investors' Behavior and Management on the Stock Returns: Evidence from Iran, Advances in mathematical finance & applications, 2018, 3(3), P. 41-52. DOI: 10.22034/amfa.2018.544948.
[10] Hashemi, S.A., Miraki, F., Survey of Excess Return on Momentum Risk in Tehran Stock Exchange, Accounting Research, 2013, 8, P. 56-39.
[11] Khani Farahani, A., Sheshmani, M., Mohades, A., Studying the Expected Returns Based on Carhart Model Com-pared to CAPM Model and Implicit Capital Cost Model Based on Cash and Capital Flow of Growth and Value stocks, Advances in mathematical finance & applications, 2017, 2(4), P.61-79.
 DOI: 10.22034/amfa.2017.536267. 
[12] Macknight, p.j., Hou Tony C.T., The determinants of momentum in the United  kingdom, Quarterly Review of Economics and Finance,2006, 46(2), P. 227-240. DOI: 10.1016/j.qref.2005.11.004.
[13] Menkhoff, L., Sarno, L., Schmeling, M., Schrimpf, A., Currency momentum strategies, Journal of Financial Economics, 2012, 106(3), P. 660-684. DOI: 10.1016/j.jfineco.2012.06.009. 
[14] Min, B.K., Kim, T. S., Momentum and Downside Risk, Journal of Banking & Finance, 2016, 72, P.104-118. DOI: 10.1016/j.jbankfin.2016.04.005.
[15] Naughton, T., Truong, C., Veeraraghavanc, M., Momentum strategies and stock returns: Chinese evidence, Pacific-Basin Finance Journal, 2008, 16(4), P. 476-492. DOI: 10.1016/j.pacfin.2007.10.001.  
[16] Vinh Vo, Xuan., Binh Truong, Quang., Does momentum work? Evidence from Vietnam stock market, Journal of Behavioral and Experimental Finance, 2018, 17, P.10-15. DOI: 10.1016/j.jbef.2017.12.002. 
[17] Wang, Jun., Wu, Yangru., Risk adjustment and momentum sources, Journal of Banking & Finance, 2010, 35(6), P. 1427-1435. DOI: 10.1016/j.jbankfin.2010.10.021.   
Volume 5, Issue 3
July 2020
Pages 391-402
  • Receive Date: 17 November 2018
  • Revise Date: 27 May 2019
  • Accept Date: 29 May 2019
  • First Publish Date: 01 July 2020