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Can Swedish Stocks Be Used as a Money Machine?: A Momentum Analysis of the Swedish Stock Market
Stockholm University, Faculty of Social Sciences, School of Business.
Stockholm University, Faculty of Social Sciences, School of Business.
2002 (English)Independent thesis Advanced level (degree of Master (One Year)), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

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.

Place, publisher, year, edition, pages
2002.
National Category
Business Administration
Identifiers
URN: urn:nbn:se:su:diva-3620OAI: oai:DiVA.org:su-3620DiVA: diva2:192954
Uppsok
samhälle/juridik
Available from: 2007-01-05 Created: 2007-01-05

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CiteExportLink to record
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Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
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Language
  • de-DE
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