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.
Mohammadi,S. , Ghalibafas,H. and ghadakforoushan,M. (2021). Survey of the Relevance of Momentum and Liquidity Market Status in Tehran Stock Exchange. Management Research in Iran, 18(2), 181-194.
MLA
Mohammadi,S. , Ghalibafas,H. , and ghadakforoushan,M. . "Survey of the Relevance of Momentum and Liquidity Market Status in Tehran Stock Exchange", Management Research in Iran, 18, 2, 2021, 181-194.
HARVARD
Mohammadi,S.,Ghalibafas,H.,ghadakforoushan,M. (2021). 'Survey of the Relevance of Momentum and Liquidity Market Status in Tehran Stock Exchange', Management Research in Iran, 18(2), pp. 181-194.
CHICAGO
S. Mohammadi, H. Ghalibafas and M. ghadakforoushan, "Survey of the Relevance of Momentum and Liquidity Market Status in Tehran Stock Exchange," Management Research in Iran, 18 2 (2021): 181-194,
VANCOUVER
Mohammadi,S.,Ghalibafas,H.,ghadakforoushan,M. Survey of the Relevance of Momentum and Liquidity Market Status in Tehran Stock Exchange. Management Research in Iran, 2021; 18(2): 181-194.
