The performance of contrarian or value strategies continues to attract attention from stock markets researchers and practitioners. While there is much evidence on the profitability of value strategies, most of this evidence pertains to the US and Euro stock markets. This study examines the performance of these strategies in Tehran stock exchange as sample during 6 years from 1378-1384 (Iranian Calendar).

According to these strategies, value stocks with characteristics such as low price/earnings ratios (P/E ratio), high dividend yields, small size (in terms of market value) and low market value to book value ratios have to be bought and growth stocks with reversed characteristics toward value stocks to be sold so that more profit without additional risk could be taken.

This study tested the validity of the aforementioned strategies, by examining the performance of portfolios of stocks formed on the basis of the above criteria, and by running a time series cross-sectional GLS multiple regression model.

The results showed that value stocks with low price/earnings ratios, high dividend rate and small size generated significantly higher returns toward growth stocks with no additional level of risk taken, with the exception of low market to book ratios variable.

Key Words

Value strategies, Value Stocks, Firm size, Price to Earning Ratio, Book-to-Market ratio, Dividend Ratio, Market Anomalies