Profitability of the Momentum Strategies in the Tunisian Stock Market

Ramzi Boussaidi () and Chaima Hmida ()

Business and Economic Research, 2017, vol. 7, issue 1, 17-32

Abstract: This paper examines the profitability of the momentum strategies in the Tunisian stock market using all the listed firms for the period 1991-2015. The stock performance is measured by the returns and the cumulative abnormal returns during a formation and holding period of 3-12 months. We found evidence of momentum profitability especially for the sub-period 2003-2015. Buying the tercile or the quintile portfolio of stocks that have performed well in the past 3, 6 and 9 months and selling the tercile or quintile of the stocks that have performed poorly during the same periods, generate statistically and economically positive returns during the subsequent 3, 6, 9 and 12 months.

Keywords: Momentum strategies; Efficient Market Hypothesis; Tunis Stock Exchange (search for similar items in EconPapers)
Date: 2017
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