Momentum Strategies and Investors` Sentiment in the Real Estate Investment Companies Listed in Stock Exchange

The purpose of this paper is to study the three momentum strategies based on a sample of the Real Estate Investment Companies. The profitability of the momentum strategy has been extensively investigated in several financial markets, including foreign currency, commodity, corporate bond, American depositary receipts, residential real estate and Real Estate Investment Trust markets. The momentum premium that involves buying past winner stocks and short selling past loser stocks is one of the most pronounced and prevalent anomalies documented in asset-pricing literature. The sample consists of six companies listed in Tehran stock exchange from April 2011 to March. Comparing across three momentum measures, it was empirically found that the residual momentum strategy plays a dominant role in generating momentum profits. The profitability of these strategies, however, varies with the state of the investor sentiment. Specifically, it was found that the price momentum and the 52-week high momentum earn significantly positive returns following optimistic period.