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Momentum in the Tunisian stocks returns: identification of some risk factors

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  • Faten Zoghlami

Abstract

This paper first examines to what extend the most puzzling phenomenon of stock returns momentum, may also concern emerging and little markets, such the Tunisian one, which accounts slightly less than 100 listed securities. The results indicate a pronounced and even stronger momentum effect that allows an average monthly return of about 2.43% (compared to 1% documented by Jegadeesh and Titman in the American stocks’markets). Secondly, the study examines the sensitivity of the documented momentum’ profits to some risk factors using as benchmark the CAPM and the Fama and French three-factor model. The results are revealing. Since, and contrary to the rebellious developed markets’ momentums profits, the market and the size factors seem accounting for the Tunisian momentum profits.

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  • Faten Zoghlami, 2011. "Momentum in the Tunisian stocks returns: identification of some risk factors," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 1(2), pages 1-11.
    • Handle: RePEc:spt:apfiba:v:1:y:2011:i:2:f:1_2_11
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    Cited by:

    1. Abdullah EJAZ & Petr POLAK, 2013. "Short term momentum profits and their source: a business indicators' approach," Agricultural Economics, Czech Academy of Agricultural Sciences, vol. 59(12), pages 563-577.
    2. Faten Zoghlami, 2013. "Momentum effect in stocks’ returns between the rational and the behavioural financial theories: Proposition of the progressive rationality," International Journal of Finance & Banking Studies, Center for the Strategic Studies in Business and Finance, vol. 2(1), pages 1-10, January.
    3. Faten Zoghlami, 2013. "Momentum effect in stocks’ returns between the rational and the behavioural financial theories: Proposition of the progressive rationality," International Journal of Finance & Banking Studies, Center for the Strategic Studies in Business and Finance, vol. 2(1), pages 01-10, January.

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