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Combining Value and Momentum Strategies in the Swedish Stock Market: How market anomalies can be exploited to outperform stock market index
Linnaeus University, School of Business and Economics, Department of Management Accounting and Logistics.
Linnaeus University, School of Business and Economics, Department of Management Accounting and Logistics.
2019 (English)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

Value and momentum strategies have been heavenly researched in financial academic literature. In this essay, different portfolios based on value and momentum strategies have been constructed to examine if it is possible to exploit market anomalies to outperform market returns. Both value and momentum is seen as two market anomalies according to earlier literature. The test were made on the Swedish market, and all data were collected from the Nasdaq OMX Stockholm Large Cap list. The findings includes a significant outperformance of market returns in nearly all portfolio tested, as well as lower standard deviations for some. However, an empirical asset pricing model, based on four factors from the Swedish market were constructed to seek explanation for the results. Overall the factor variables were rejected on their statistical significances, except for the market factor which were statistical significant for all portfolios except one.

Place, publisher, year, edition, pages
2019. , p. 55
Keywords [en]
Momentum Strategies, Value Strategies, Efficient Market Hypothesis, Market Anomalies, Capital Asset Pricing Models
National Category
Business Administration
Identifiers
URN: urn:nbn:se:lnu:diva-85876OAI: oai:DiVA.org:lnu-85876DiVA, id: diva2:1330289
Subject / course
Business Administration - Other
Educational program
Business Administration and Economics Programme, 240 credits
Supervisors
Examiners
Available from: 2019-06-25 Created: 2019-06-25 Last updated: 2019-06-25Bibliographically approved

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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