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 to be 6 months, and the holding period to be 3,6, or 12 months, we firstlyexamined the profitability of short term (3/6), midterm (6/6), and long term (12/6) momentum strategies and found that during 2010-2015 time period, only midterm momentum strategy is profitable.Then,we showedthere is no relationship between default risk andmomentum effect.
Ahmadvand, M., Jafari, S., Kordlouie, H. (2017). Default Risk and Momentum Effect; Some Evidence from Tehran Stock Exchange. Iranian Journal of Finance, 1(1), 29-46. doi: 10.22034/ijf.2017.58445
MLA
Maysam Ahmadvand; Seyedeh Mahboobeh Jafari; Hamidreza Kordlouie. "Default Risk and Momentum Effect; Some Evidence from Tehran Stock Exchange". Iranian Journal of Finance, 1, 1, 2017, 29-46. doi: 10.22034/ijf.2017.58445
HARVARD
Ahmadvand, M., Jafari, S., Kordlouie, H. (2017). 'Default Risk and Momentum Effect; Some Evidence from Tehran Stock Exchange', Iranian Journal of Finance, 1(1), pp. 29-46. doi: 10.22034/ijf.2017.58445
VANCOUVER
Ahmadvand, M., Jafari, S., Kordlouie, H. Default Risk and Momentum Effect; Some Evidence from Tehran Stock Exchange. Iranian Journal of Finance, 2017; 1(1): 29-46. doi: 10.22034/ijf.2017.58445
)