The aim of the present study is to model momentum portfolio for Firms listed on the Tehran Stock Exchange based on Bayesian panel averaging approaches. The present research is applied. The research period is seasonal data from 2011 to 2023. Data from 171 listed Firms based on a screening approach has been used to estimate the model. Based on the results, among the four competing modelling approaches, TVP-DMA, TVP-DMS, BMA, and WALS, and considering the goodness-of-fit indices, the TVP-DMA approach was selected as the most efficient approach for modelling the momentum investment strategy. The findings indicate the fact that the momentum strategy provided investors with higher profitability than the average market return in all forecast intervals. In the formation of strong momentum, systematic risks should be paid more attention to than unsystematic risks, and in the formation of portfolios, investors should choose stocks that receive the least negative impact from systematic risks. Considering the higher return of the momentum portfolio compared to the market, the weak form of the efficient market hypothesis is confirmed in the Tehran Stock Exchange.
Eteghadi et al. (Sat,) studied this question.
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