This paper is aimed to explain excess return of stock price and style momentum (size, industry and book to market ratio) through time series regression based on Fama and French (1993) three factor model and Wang and Wu (2010) that incorporate beta changes of momentum portfolio. For this purpose, a sample of 104 listed firms in Tehran Stock Exchange examined from 2010 to 2014. Portfolio analysis approach is used to investigate the effect of adjusting risk on momentum excess return. The results show that in most of price, size and industry momentum strategies, adjusting return for risk by conventional way based on Fama-French (1993) model increase excess return while adjusted return based on Wang-Wu (2010) reduce excess return of these strategies. It can confirm risk based explanation because failure of risk based explanation partly related to how risk is adjusted. While in book to market ratio it cannot attribute failure of risk explanation to the way risk is adjusted.
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