4647484950515249 of 131
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
Momentum Strategy on the Swedish Large-Cap Market.: An Empirical Study of the Momentum Strategy on OMXS30
Stockholm University, Faculty of Social Sciences, Stockholm Business School, Finance.
Stockholm University, Faculty of Social Sciences, Stockholm Business School, Finance.
2018 (English)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

This year (2018), it is 25 years since the Momentum Strategy was first scientifically described. Despite this, the cause of the effect has not surely been concluded although it has been empirically studied in several previous studies. It has been shown to be valid for different kinds of assets.

Since the authors of this thesis are based in Stockholm they thought it would be interesting and relevant to study if the strategy is valid on the Swedish market. The stock data comes from the stocks which has been part of the OMXS30 at least once during the period of 2010-2018. This study has also utilised two different ways on how to quantitate the return of the different portfolios. The effect of the holding period has in this report been attempted to address. The holding period is the length of the period which assets should be enclosed in the portfolio.

One of the quantitation methods compared the portfolios’ development each month. The other method was more like a window analysis, to evaluate a portfolio’s return if one decides to invest in that theory until all the invested funds has been turned over.

The study finds that the Momentum Strategy with holding periods of 2, 3 and 4 months significantly outperforms the market. With a higher significance level (10%) Momentum Strategy portfolios with holding periods of 2-6 and 11-14 months are outperforming the market. With a larger sample size, it is possible that the results would have been more conclusive.

Place, publisher, year, edition, pages
2018. , p. 36
Keywords [en]
Momentum Strategy, Empirical Finance
National Category
Business Administration
Identifiers
URN: urn:nbn:se:su:diva-163477OAI: oai:DiVA.org:su-163477DiVA, id: diva2:1275396
Supervisors
Available from: 2019-02-11 Created: 2019-01-06 Last updated: 2019-02-11Bibliographically approved

Open Access in DiVA

fulltext(689 kB)1 downloads
File information
File name FULLTEXT01.pdfFile size 689 kBChecksum SHA-512
f444048e8b1ceeef23cd4c468a1dc25232e594e412240b2749b1e1dbefaaad08263a4e116ce1b91441ff2063846a0a0efd55492ed61f644dd88ab7835f015222
Type fulltextMimetype application/pdf

By organisation
Finance
Business Administration

Search outside of DiVA

GoogleGoogle Scholar
Total: 1 downloads
The number of downloads is the sum of all downloads of full texts. It may include eg previous versions that are now no longer available

urn-nbn

Altmetric score

urn-nbn
Total: 4 hits
4647484950515249 of 131
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf