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 quintil… Show more
scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.