Investigation of Residual and Conventional Momentum Strategies in Short-term and Long-term Time Periods (Evidence from Tehran Stock Exchange)

Hasan Nezhad, Mohammad; Osoolian, Mohammad; Nadafi, Fatemeh

doi:10.30699/ijf.2025.467917.1480

Investigation of Residual and Conventional Momentum Strategies in Short-term and Long-term Time Periods (Evidence from Tehran Stock Exchange)

Document Type : Original Article

Authors

Mohammad Hasan Nezhad ¹

Mohammad Osoolian ¹

Fatemeh Nadafi ²

¹ Assistant Prof., Department of Financial Management, Faculty of Management and Accounting, university of Shahid Beheshti, Tehran, Iran.

² MSc., Department of Financial Management, Faculty of Management and Accounting, university of Shahid Beheshti, Tehran, Iran.

10.30699/ijf.2025.467917.1480

Abstract

Many researchers have attempted to explain the phenomenon of medium-term return continuation using modern financial theories. The excess return gained in the momentum investment strategy, in fact, compensates for unknown risks that current theories are unable to explain. Research indicates that various strategies can be beneficial at different maintenance periods. Various strategies generally involve a simple method in which they are formed based on the criterion of return over a certain period in the past and are maintained for a corresponding period in the future. Each investment strategy tends to generate excess returns based on the predictability of short-term price movements, as indicated by past performance. The purpose of this study is primarily to investigate the usefulness of residual momentum and conventional momentum strategies in the short-term and long-term. The time period of this study is from 2009 to 2018, and the general approach for calculations is based on the method described by Jegadeesh and Titman (1993), Blitz et al. (2011), and Blitz et al. (2020). The results of this study show no significant difference between residual and conventional momentum strategies in both short-term and long-term periods, indicating that both approaches exhibit similar risk-adjusted performance and forecasting capabilities.

Keywords

Residual Momentum, Conventional Momentum, Pricing Models, Tehran Stock Exchange

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