Assessment of Profitability Based on Reverse Strategy in Companies Listed in Tehran Stock Exchange

  •  Abolfazl Aminian    
  •  Omid Khoshkho    
  •  Mojtaba Afsordeh    
  •  Shiroyeh Mohebbi    


Basically, investors in general and investors in securities including shares or bonds, in particular, are always looking for reliable and reasonable models that can help them choosing the number and time of the transaction of purchase and sale of their investments in order to maximize yields and guide them properly. In the last century with the development of financial markets, especially the stock market and more diversified securities of transactions in these markets, and more participation of larger groups of people in stock, their demands have become more important. Two important and widely used strategies among analysts include reverse and momentum strategies which against each other. They predict future performance using past performance. Momentum strategy believes that recent trends continue, but reverse strategy believes that recent trends will return.

In this study conducted in a six-year period between 2009 and 2014 and its portfolio is made up, the results of this study in the Tehran Stock Exchange which has been due to two hypotheses showed that the mean abnormal return of loser and winner portfolios are positive and negative, respectively, and hypotheses have been confirmed.

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