Investigating the Effect of Momentum on the Risk and Stock Returns and Simultaneous Impact

Document Type : Original Article

Authors

Asistant Professor of Accounting, Islamic Azad University Tehran South, Iran

Abstract

The purpose of this study is to compare the effects of momentum on stock returns and risk and its simultaneous effect on the risk and returns of the listed companies in Tehran Stock Exchange. For this purpose, a sample of 98 companies was selected during the years 1385 to 1394. The research hypotheses are estimated using linear time series regression. According to the results of the first hypothesis test, the momentum has a positive and direct effect on the returns of the companies listed in the Tehran Stock Exchange. Based on the results of the test The second hypothesis, the momentum on the stock risk of the companies admitted to Tehran Stock Exchange has a negative effect. Based on the results of the third hypothesis test, the momentum has a negative and inverse relationship between the simultaneous risk and returns of the companies listed in the Tehran Stock Exchange, and this effect is more affected by the equity risk component.

Keywords

Accounting and Auditing Research
Volume 11, Issue 43 - Serial Number 43
Accounting and Auditing Research, Fall 1398, No. 43
October 2019
Pages 71-84

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