Can Swedish Stocks Be Used as a Money Machine?: A Momentum Analysis of the Swedish Stock Market
Independent thesis Advanced level (degree of Master (One Year)), 10 credits / 15 HE creditsStudent thesis
This paper documents that momentum portfolio strategies indicate positive returns in the long run. In the short-term the returns indicate contrarian price movements. We find that the statistically significant abnormal returns from strategies that buy past long-term winners cannot be explained by their systematic risk. The research is based on 122,580 observations of stock returns in the OMX during the time period Q3 1990 through Q2 2002.
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IdentifiersURN: urn:nbn:se:su:diva-3620OAI: oai:DiVA.org:su-3620DiVA: diva2:192954