Momentum Investment Strategy: An evaluation of the momentum strategy on the Swedish stock market
2022 (English)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE credits
Student thesis
Abstract [en]
This thesis examines the profitability of the momentum strategy on the Swedish stock market during the years 2001-2021. The strategy buys the best performing stocks and sells the worst performing stocks based on the past 3-12-months. They are then held in portfolios for a period of 3-12-months.
The methodology follows previous studies on this topic and is analyzed with economic models such as CAPM. The results showed that the portfolio with the highest average monthly return is the 6-month/12-month. The portfolio selects stocks based on the previous 12-months and holds them for the next 6-months.
Another important finding was that the winner portfolios contribute notably more than the losers to the total momentum portfolio return. According to CAPM, 6 out of 9 portfolios yields positive significant alpha compared to the market. The evidence collected in this thesis show excess return compared to the market index using historical price data, which puts parts of the Efficient Market Hypothesis into question.
Place, publisher, year, edition, pages
2022. , p. 33
Keywords [en]
Financial markets, Efficient Market Hypothesis, Momentum Strategy
Keywords [sv]
Finansmarknader, hypotesen om effektiva marknader, Momentum Strategy
National Category
Economics
Identifiers
URN: urn:nbn:se:hv:diva-18709Local ID: EXC513OAI: oai:DiVA.org:hv-18709DiVA, id: diva2:1676846
Subject / course
Nationalekonomi
Educational program
Mäklarekonomprogrammet, fastighet och finans
Supervisors
Examiners
2022-07-142022-06-272022-07-14Bibliographically approved