Profitability of Momentum and Contrarian Strategies Based on Trading Volume in Tehran Stock Exchange: A Comparison of Emerging Market

Mahmood Yahyazadehfar; Shahabeddin shams; Saeideh Lorestani

Volume 1, Issue 4 , October 2011, , Pages 171-184

  In this study, the profitability of contrarian and momentum strategies were traded in mid- term based on trading volume. The stocks were categorized into three parts (high, middle and low) at the outset. Then, the relationship between excess return with three components such as cross-sectional risk, ...  Read More