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Momentum strategies on the Swedish market
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Business Studies.
2019 (English)Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesis
Abstract [en]

Comparing the performance of a pure momentum strategy with a strategy based on intermediate past returns on OMXS 1999-2018, this study shows that a pure momentum strategy significantly outperforms a strategy based on intermediate past returns. The pure momentum strategy delivers significant returns, primarily for portfolios based on shorter formation and holding periods. Furthermore, this study show that these significant returns are not due to loading on common systematic risk factors. Moreover, this study shows that by implementing a scaling component to the pure momentum strategy, investors can mitigate the crash risk in momentum strategies to some extent.

Place, publisher, year, edition, pages
2019. , p. 47
Keywords [en]
Financial markets, Sweden, Investment decisions, Momentum Strategy, Intermediate Past Returns, Risk, Volatility
National Category
Business Administration
Identifiers
URN: urn:nbn:se:uu:diva-387682OAI: oai:DiVA.org:uu-387682DiVA, id: diva2:1330214
Subject / course
Business Studies
Educational program
Master Programme in Accounting, Auditing and Analysis
Supervisors
Examiners
Available from: 2019-06-26 Created: 2019-06-25 Last updated: 2019-06-26Bibliographically approved

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fulltext(2872 kB)12 downloads
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CiteExportLink to record
Permanent link

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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