Does Book-to-Market Ratio Matter in Profitability of Momentum Investment Strategy in Tehran Stock Exchange? - TI Journals

International Journal of Economy, Management and Social Sciences Pub Date : 2016-06-01 DOI:10.21828/ijemss-05-02-002

Narjes Khosroazad, Hasti Chitsazan

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引用次数: 4

Abstract

Abstract: Momentum investment strategy is one of the axes which challenges Efficient Market Hypothesis that is one of the fundamental paradigms in modern finance. Investment in growth and value stocks is also one of the scholar axes about studying strategies generating surplus return in the market. The statistical population in this research is the whole firms have been accepted in Tehran Stock Exchange. The firms have been categorized based on the measure of Book-to-Market Ratio (BTM) and then their performance was studied. Therefore, this research aims to study the impact of BTM (as a measure for differentiating between growth and value stocks) on the profitability of momentum investment strategy in Tehran Stock Exchange. The research was conducted during 2004-2014 and a sample of 40 firms was chosen from all accepted firms in Tehran Stock Exchange by the knockout method. The results indicated that in the mentioned period, differential return of winning and losing portfolio has been positive and this indicated positive profitability of momentum investment strategy in both growth and value stocks.

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德黑兰证券交易所动量投资策略的账面市值比是否影响盈利?- TI期刊

摘要:动量投资策略是挑战现代金融基本范式之一的有效市场假说的轴线之一。对成长型和价值型股票的投资也是研究市场盈余收益策略的学者研究方向之一。本研究的统计人口为在德黑兰证券交易所上市的所有公司。以账面市值比(BTM)为指标对企业进行分类，并对其绩效进行研究。因此，本研究旨在研究BTM(作为区分成长型和价值型股票的指标)对德黑兰证券交易所动量投资策略盈利能力的影响。研究在2004-2014年期间进行，采用淘汰法从德黑兰证券交易所所有接受的公司中选择了40家公司的样本。结果表明，在上述时间段内，盈亏组合的差异收益为正，这表明动量投资策略在成长型和价值型股票中都具有正的盈利能力。

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International Journal of Economy, Management and Social Sciences

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