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Momentum strategies: Empirical evidence from the Swedish stock market
Jönköping University, Jönköping International Business School, JIBS, Economics, Finance and Statistics.
Jönköping University, Jönköping International Business School, JIBS, Economics, Finance and Statistics.
2014 (English)Independent thesis Advanced level (degree of Master (One Year)), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

The study is based on the study of Jegadeesh and Titman (1993, 2001) which found evidence of succesfull trading strategies which yielded significant positive abnormal returns by exploiting a momentum pattern in stock prices. The purpose of this study is to contribute with empirical results to the discussions of efficient markets, momentum effects and behavioral finance by providing evidence from the Swedish stock market between the years 1998 and 2013. The conclusion is that there exists a Momentum Effect on the Swedish stock market. The utilization of momentum strategies yields significant positive abnormal returns. The Efficient Market Hypothesis is a model which might hold in the long-term, but shows limitations in the short-term. The implications of the results of this study are that short-term investor behavior and momentum profits might be partially explained by behavioral finance models but the origin of the momentum profits need to be further evaluated.

Place, publisher, year, edition, pages
2014. , 60 p.
Keyword [en]
Momentum Effect, Momentum Strategies, Trading Strategies, Efficient Market Hypothesis, Behavioral Finance
National Category
Business Administration
Identifiers
URN: urn:nbn:se:hj:diva-24131OAI: oai:DiVA.org:hj-24131DiVA: diva2:726279
Subject / course
IHH, Business Administration
Supervisors
Examiners
Available from: 2014-09-15 Created: 2014-06-18 Last updated: 2014-09-15Bibliographically approved

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Momentum strategies - Tsilfidis Nikolova(892 kB)474 downloads
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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