The role of Conditional Time- Varying Systematic Risk in Momentum Profits

The present study aims to investigate the momentum profits in the short-term, medium, and long-term periods in Tehran Stock Exchange and the role of time varying systematic risk on the existence of momentum profits in various trading strategies. Using 5 trading strategies to verify the existence of momentum profits and comparing momentum profits in short-term and long-term periods, a test of comparing the average of the two communities was applied. Then, autoregressive ARCH and GARCH models were used to estimate the time varying systematic risk. The statistical sample included 120 companies listed in Tehran Stock Exchange during 2010 to 2015. The results indicates that momentum profits exist in Stock Exchange during short-term and medium-term periods, , but in long-term periods no momentum profits exist. Profits derived from trading strategies with courses of formation and maintenance of 3, 6, and 12 month exist as a result of compensate for higher risk and winner portfolios are exposed to higher risk than loser portfolios.