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 (compared to 1% documented by Jegadeesh and Titman in the American stocks’markets). | Momentum in the Tunisian stocks returns: Identification of some risk factors
