نویسندگان
1 دانشیار گروه مدیریت مالی و بیمه، دانشکده مدیریت، دانشگاه تهران، تهران، ایران
2 استادیار گروه مدیریت، دانشکده علوم اجتماعی، دانشگاه الزهرا(س)، تهران، ایران
3 کارشناس ارشد مدیریت بازرگانی-مالی، دانشکده علوم اجتماعی، دانشگاه الزهرا(س)، تهران، ایران
کلیدواژه‌ها
عنوان مقاله English
نویسندگان English
The main objective of this study is investigating the relevance of momentum and liquidity market status on short-term (6 and 12 months), medium-term (24 months) and long-term (60 months) periods. Statistical sample in clouded 270 firms that were accepted during years 82-85 in Tehran Stock Exchange, and are still working. The results showed that liquidity market status is a factor for separation of the market's effects on excess returns in different periods of times. So that the momentum in the companies with high liquidity in 6 months formation and 6 & 12 months holding periods was positive, and the momentum in the companies with low liquidity in 24 & 60 months holding periods was negative. Also there was no significant difference between the profitability of momentum strategy in the companies with high and low liquidity.
کلیدواژه‌ها English
