Investigating the Effect of Information Discreteness and Momentum on the Excess Stock Return in Companies listed to Tehran Stock Exchange (TSE)
Quarterly Journal of Securities Exchange

Quarterly Journal of Securities Exchange

Investigating the Effect of Information Discreteness and Momentum on the Excess Stock Return in Companies listed to Tehran Stock Exchange (TSE)

Document Type : Original Article

Authors
Nooshin hemmasian Etefagh
Saeid Aliahmadi
Department of Accounting, Isfahan (Khorasgan) Branch,Islamic Azad University, Isfahan, Iran
10.22034/jse.2020.10999.1263
Abstract
Disclosure of information in the capital market affects stock prices. The reaction of investors to the gradual and continuous disclosure of information or to the immediate and discrete disclosure of information can have a different effect on the stock price. In addition, the existence of a momentum strategy in the capital market and its combination with discrete disclosure of information can increase these effects. Therefore, the purpose of this study is to investigate the effect of momentum and information discreteness on the excess stock return. The sampling method in this research is the systematic method of elimination and research period from 2010 to 2018. We select of 104 the companies and the method used to estimate the model of multivariate regression method. The results of the research showed that the momentum is effect the on the excess stock return. Therefore, investors can gain returns in the Iranian capital market by implementing a momentum strategy. Also, the results showed that the information discreteness is effect on the excess stock return. Therefore, investors can make higher returns by choosing companies whose information is disclosed immediately and discretely. In addition, the results showed that the combine of momentum and information discreteness have effect on the excess stock return. investors can achieve higher returns by choosing companies based on a combination of momentum strategy and information discreteness. Overall, the results showed that the information discreteness was added to the asset pricing models in addition to the variables of the Fama and French three-factor model.
Keywords
Momentum Strategy
Information Discreteness
Excess Stock Return
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Quarterly Journal of Securities Exchange
Volume 13, Issue 52
Winter 2021
Pages 96-114