The dominance of the contractum over the momentum and vice versa: Evidence from the Iranian capital market

[1] K. Abukari and I. Otchere, Dominance of hybrid contratum strategies over momentum and contrarian strategies: Half a century of evidence, Financ. Markets Portfolio Manag. 34 (2020), no. 4, 471–505.

[2] R.W. Alksender, The relationship between return and market value of common stocks, J. Financ. Econ. 9 (1961), no. 1, 3–18.

[3] G.H. Asadi and S.A.H. Emami, Designing trading strategies based on the effect of momentum and return and using important floors and ceilings of the past, Financ. Knowledge Secur. Anal. 12 (2019), no. 41, 57–69.

[4] C.S. Asness, T.J. Moskowitz and L.H. Pedersen, Value and momentum everywhere, J. Financ. 68 (2013), no. 3, 929–985.

[5] A. Badri, M. Davallou and F. Aghajani, Source of creating momentum; Evidence of risk adjustment, Financ. Manag. Persp. 23 (2018), 9–31.

[6] A. Badri, F. Fathullahi, Momentum return: Evidence from Tehran stock exchange, Sci. Quart. 3 (2014), no. 20–21.

[7] M. Baltzer, S. Jank and E. Smajlbegovic, Who trades on momentum? J. Financ. Mark. 42 (2019), 56–74.

[8] R. Balvers and Y. Wu, Momentum and mean reversion across national equity markets, J. Empir. Financ. 13 (2006), 24–48.

[9] R. Balvers, Y. Wu and E. Gilliland, Mean reversion across national stock markets and parametric contrarian investment strategies, J. Financ. 55 (2000), no. 2, 745–772.

[10] F. Black, Capital market equilibrium with restricted borrowing, J. Bus. 45 (1972), 444–455.

[11] W. Boynton and H.R. Oppenheimer, Anomalies in stock market pricing: Problems in return measurements, J. Bus. 79 (2006), no. 5, 2617–2631.

[12] P.-H. Chou, K.C.J. Wei and H. Chung, Sources of contrarian profits in the Japanese stock market, J. Empir. Financ. 14 (2007), no. 3, 261–286.

[13] M.J. Cooper, R.C. Gutierrez Jr and A. Hameed, Market states and momentum, J. Financ. 59 (2004), no. 3, 1345–1365.

[14] M. Davallou and S. Tabarsa, The style momentum and its origin, Financ. Res. 22 (2020), no. 3, 320–342.

[15] R. Deaves and P. Miu, Refining momentum strategies by conditioning on prior long-term returns: Canadian evidence, Can. J. Adm. Sci. 24 (2007), 135–145.

[16] M.I. Fadaeinejad, R. Farahani and M. Hosseinabadi, Evaluation of the usefulness of momentary and reverse industry strategies in the Iranian capital market, Asset Manag. Financ. 9 (2020), no. 1, 93–112.

[17] E.F. Fama and K.R. French, The cross-section of expected stock returns, J. Financ. 47 (1992), no. 2, 427–465.

[18] E.F. Fama and K.R. French, Multifactor explanations of asset pricing anomalies, J. Financ. 51 (1996), no. 1, 55–84.

[19] E.F. Fama and K.R. French, Dissecting anomalies, J. Financ. 63 (2008), no. 4, 1653–1678.

[20] E.F. Fama and K.R. French, Dissecting anomalies with a five-factor model, Rev. Financ. Stud. 29 (2016), no. 1, 69–103.

[21] E.F. Gerandi and K.R. Martin, Common risk factors in the returns on stocks and bonds, J. Financ. Econ. 33 (2001), no. 1, 3–56.

[22] G. Islami Bidgoli, S.A. Nabavi Chashmi, M. Yahya Zadehfar and S. Ikani, Study of profitability of momentum strategy in Tehran stock exchange, Quart. J. Quant. Stud. Manag. 2 (2010), no. 1, 47–76.

[23] N. Jegadeesh, Evidence of predictable behavior of security returns, J. Financ. 45 (1990), no. 3, 881–898.

[24] N. Jegadeesh and S. Titman, Returns to buying winners and selling losers: Implications for market efficiency, J. Financ. 48 (1993), no. 1, 65–91.

[25] N. Jegadeesh and S. Titman, Overreaction, delayed reaction, and contrarian profits, Rev. Financ. Stud. 8 (1995), no. 4, 973–993.

[26] N. Jegadeesh and S. Titman, Profitability of momentum strategies: An evaluation of alternative explanations, J. Financ. 56 (2001), no. 2, 699–720.

[27] N. Jegadeesh and S. Titman, Momentum, Annu. Rev. Finan. Econ. 3 (2011), 493–509.

[28] J. Lintner, The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets, Rev. Econ. Statist. 47 (1965), 13–37.

[29] W. Liu, S. Norman and X. Xu, The profitability of momentum investing, J. Bus. Financ. Account. 26 (1999), no. 9-10, 1043–1091.

[30] B.K. Min and T.S. Kim, Momentum and downside risk, J. Bank. Finance 72 (2016), S104–S118.

[31] M. Mousavi Shiri, M. Salehi, M. Shakeri and A. Bakhshian, Profitability of momentum strategy and the effect of stock trading volume on it in Tehran stock exchange, J. Financ. Eng. Secur. Manag. 6 (2015), no. 25, 107–123.

[32] A. Safari and M. Ashna, Presenting an optimal model for stock selection based on momentum trading strategy, Financ. Knowledge Secur. Anal. 12 (2019), no. 41, 143–153.

[33] S.H. Schwartz, A proposal for measuring value orientations across nations, Quest. Package Eur. Social Survey 259 (2003), no. 290, 261.

[34] W.F. Sharpe, Capital asset prices: A theory of market equilibrium under conditions of risk, J. Finance 19 (1964), no. 3, 425–442.

[35] R.W. Sias, Institutional herding, Rev. Financ. Stud. 17 (2004), no. 1, 165–206.

[36] D. Vayanos and P. Woolley, An institutional theory of momentum and reversal, Rev. Financ. Stud. 26 (2013), no. 5, 1087–1145.

[37] Y. Wu and K. Mazouz, Long-term industry reversals, J. Bank. Financ. 68 (2016), 236–250.

[38] Y. Yao, Momentum, contrarian, and the January seasonality, J. Bank. Financ. 36 (2012), 2757–2769