Default Risk and Momentum Effect; Some Evidence from Tehran Stock Exchange

Maysam Ahmadvand; Seyedeh Mahboobeh Jafari; Hamidreza Kordlouie

Volume 1, Issue 1 , July 2017, , Pages 29-46

https://doi.org/10.22034/ijf.2017.58445

Abstract
  The purpose of this paper is to analyze the relationship between default risk and momentum effect using data from companies listed on Tehran Stock Exchange.To calculate default risk,we used Black-Scholes-Merton (BSM) option pricing model. To describe momentum effect, by determining the formation period ...  Read More