*Faculty Member, Department of Accounting and Management, Collage of Allame Tabatabaei University, finance branch, Allame Tabatabaei University, Tehran, Iran
**MA of Financial Management, Faculty of Management, University of Allame Tabatabaei, Tehran, Iran
***MA Student of Financial Management, Faculty of Management, University of Tehran, Tehran, Iran
Online published on 27 July, 2015.
The aim of this study is to compare the performance of Jegadeesh-Titman strategy (1993), and the highest price in the last 52 week Momentum strategies to achieve the optimal portfolio. In this study, 120 companies during the period of 5 years (2009 to 2013) have been studied. In this study time keeping of portfolios is 6 months stocks based on more efficiency, arranged from top to bottom and the top %30 winner stocks, %30down loser stocks and the remaining %40 call middle stocks, and also portfolios obtained have been kept for 6 months and in the highest price of the last 52 week strategy stock-based current stock price index to its highest price at the last 52 weeks classify portfolio and the resulting portfolio also is keeping also 6 months. The results show that deployment the highest price in the last 52 weeks strategy is appropriate criteria for establishing the optimal portfolio.
Behavioral finance, Portfolio selection, stock return, Momentum strategy, Winner and loser portfolio
