Survey Of Relevance Of Momentum And liquidity market state In Tehran Stock Exchange

The main objective of this study is investigating the survey of relevance of momentum and liquidity market state on short-term (6 and 12 months), medium-term (24 months) and long-term (60 months). Statistical sample is 270 firms that accepted during years 82-85 in Tehran Stock Exchange and they are still working till end of Year 91. Hypothesis test results showed that liquidity market state as a factor for Separation of markets effects on excess returns in different period of times. So that the Momentum in Sets companies with high liquidity in 6 months formation and 6 & 12 months holding periods were positive and Momentum in Sets companies with low liquidity in 24 & 60 months holding periods were negative. Also, there is no significant difference between the profitability of momentum strategy in Sets companies with high and low liquidity.