Earnings and Price Momentum: Evidence from Tehran Stock Exchange Kamelniya Mojtaba*, Seifoddini Jalal**, Amini Naghi** *PhD. Student, Department of Management and Accounting, Shahid Beheshti University, Tehran, Iran **PhD. Student, Department of Management and Economics, Science and Research Branch, Islamic Azad University, Tehran, Iran ***M.A, Department of Management and Accounting, Shahid Beheshti University, Tehran, Iran Online published on 6 January, 2014. Abstract By arguing that previous performance forecasts future performance, momentum phenomena have questioned the hypotheses of efficient market. Considerable debates have been fueled, among the financial theoretician, regarding relationship between the phenomena and their causes. One of the ways to examine the phenomena is to simulate combined and isolated momentum strategies in the same time series; then the results can be compared. The findings of the study with study population of the companies in Tehran Stock Exchange (TSE) showed that abnormal performance can be achieved using price momentum strategy and earnings momentum strategy in 1 year and six month periods respectively. In addition, combined strategy showed that the strategies use different information about the companies and each of which have increasing efficiency in forecasting the future performance. Relationships between the phenomena shrink in time and vanish in a one year period. Top Keywords Price momentum, Earnings momentum, Combined strategy, Abnormal performance. Top |