Momentum in the Tunisian stocks returns : identification of some risk factors

This paper first examines to what extend the most puzzling phenomenon of stock returns momentum, may also concern emerging and little markets, such the Tunisian one, which accounts slightly less than 100 listed securities. The results indicate a pronounced and even stronger momentum effect that allows an average monthly return of about 2.43% (compared to 1% documented by Jegadeesh and Titman in the American stocks’markets). Secondly, the study examines the sensitivity of the documented momentum' profits to some risk factors using as benchmark the CAPM and the Fama and French three-factor model. The results are revealing. Since, and contrary to the rebellious developed markets’ momentums profits, the market and the size factors seem accounting for the Tunisian momentum profits. -- momentum effect ; emerging stocks' markets ; CAPM model ; Fama and French three-factor model