Wyème, Ben Mrad Douagi Fatma; Olfa, Chaouachi
November 2011
Journal of Business Studies Quarterly;2011, Vol. 3 Issue 1, p218
Academic Journal
In this paper, we examine the profitability of various momentum strategies in the Tunisian stock market over the period April 2003 to March 2010. Also, we verify the stability of momentum return in time. Furthermore, we test for possible seasonality in the momentum profit, and then, we assess whether the profit of momentum strategy can be explained by the CAPM and the Fama and French model. For the whole sample period, we find that all momentum strategies produce significant profits. Also, we report the persistence of the profitability of momentum strategy during the two sub-periods. Furthermore, we document that the January momentum profit is higher than the momentum profit in other calendar months, and then, we find that the CAPM and the Fama and French model fail to fully explain the profit of momentum strategy.


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