Stock Market Profitability in Iran's Economy

Capital market as one of the pillars of financial market has an important role in gathering financial resources and capital in order to economic growth, and already is a fund for businesses in most countries. Considering the importance of profitability of stock market in development of this market and economic growth, in this study, we use buy and hold strategy, moving average and momentum methods to examine profitability of Tehran Stock Exchange as a main pillar of capital market in Iran's economy. For this purpose we chose 26 industries from 38 active industries of Tehran Stock Exchange. We used five different trading strategies just for increasing the accuracy of examination, not for comparing trading strategies. The results showed that, using different trading strategies, one can earn average annual return of 36 percent for each industry, and 32 percent average annual return for the market. Therefore the average risk premium is 14 percent for each industry, and 10 percent for the market.