English (United Kingdom)

https://curated-unify.zendy.io/wp-json/zendy-region/v1/featured_content/oa?rat=en

https://curated-unify.zendy.io/wp-json/zendy-region/v1/highlighted_journal/

Global: Zendy Plus annual

Presents the access of premium content as premium feature

Premium Content

Presents the keyphrase highlighting as premium feature

Keyphrase Highlighting

Presents the summarisation as premium feature

Summarisation

Insights

Presents the pdf analysis as premium feature

PDF Analysis

Presents the zaia usage as premium feature

ZAIA

Global: Zendy Tools annual

Global: Zendy Free Plan

Global: Zendy Tools monthly

Global: Zendy Plus monthly

The puzzling momentum strategies’ payoffs are defying the rational financial theory asserting the stocks returns’ unpredictability. Moreover, the momentum effect persist the main stocks returns’ anomaly escaping any risk-based explanation. The resilience of this phenomenon had favoured the development of behavioural financial field, which breaks with the investor’ full rationality hypothesis. This paper attempts to reconcile between the rational and behavioural financial theories, through the introduction of the progressive rationality concept. Especially, we argue that recognizing the temporary inappropriate investors’ reactions; can resolve the puzzling momentum anomaly. To fulfil our objective, first we correct the monthly returns inherent to 56 stocks listed on the Tunisian stocks market from January 1998 to December 2011, from the related serial autocorrelations involved by the investors’ over and under reactions. Then, we examine the 6/6 momentum strategy’ excess returns before and after the monthly returns serial autocorrelations’ corrections. The result show that the momentum strategy is still profitable but no longer puzzling, since the related excess return is henceforth fully captured by a s and a size effect..

Momentum effect in stocks’ returns between the rational and the behavioural financial theories