Testing the Investment Momentum Strategy and Forming its Portfolio- An Applied Study of a Sample of the Stokes of Companies Listed on the Iraq Stock Exchange
2022, Volume 41, Issue 133, Pages 177-193
AbstractThe research sought to test the investment momentum strategy and form its portfolio in the Iraqi Stock Exchange as a field of application, aiming to test the ability of that strategy to achieve higher risk-adjusted returns and compare the performance of momentum portfolios with the performance of the market portfolio, as well as testing the efficiency of the Iraq Stock Exchange at the level The weak indirectly, relying on the basis of applying this strategy based on the assumption that the stocks that achieve great returns during the formation periods (3 to 12) months will continue to achieve those returns over a time period ranging from (3 to 12) months, and that the stocks that A loss is achieved during the formation periods (3 to 12) months that will continue to achieve that loss over a period ranging from 3 to 12 monthThese foundations have been relied on to build the momentum portfolio by buying the winning shares during the test period and adding them to the portfolio and short selling the losing stocks during the holding period so that the portfolio is rebalanced every month s, and the results of the application resulted in the failure of the investment momentum strategy to achieve higher risk-adjusted returns, in addition to the achievement of significant losses and risks by the momentum portfolios. Compared with the market portfolio in addition to the inability to rely on stock prices and their historical trading volumes in predicting their prices and future returns because the market is efficient at a weak level, the research recommended urging investors and academics to research and test other trading strategies such as value stocks, growth stocks, and accruals-based trading strategies to identify their ability to achieve higher risk-adjusted returns to discover and guide investors towards ways and methods of selecting stocks to invest in.
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