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...

This paper documents strong evidence for the robust profitability of the momentum strategies inter and intra five Arabo-Mediterranean stocks’ markets. Between 1998 and 2007 we find that the related stocks’ returns exhibit a strong continuation pattern during a period of about one year. Even...

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...

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...

This paper documents strong evidence for the robust profitability of the momentum strategies inter and intra five Arabo-Mediterranean stocks’ markets. Between 1998 and 2007 we find that the related stocks’ returns exhibit a strong continuation pattern during a period of about one year. Even...