Essays about: "Jegadeesh"

Showing result 1 - 5 of 6 essays containing the word Jegadeesh.

  1. 1. Is Top Line Now Top of Mind? An empirical study on response coefficients on the Stockholm Stock Exchange

    University essay from Handelshögskolan i Stockholm/Institutionen för redovisning och finansiering

    Author : Olle Henning; Erik Björk; [2017]
    Keywords : Revenue Response Coefficient; Earnings Response Coefficient; Surprise Earnings; Surprise Revenues; Capital Markets;

    Abstract : This study examines the relationship between abnormal stock returns and surprises in both revenues and earnings on the Stockholm Stock Exchange for the years 2011 - 2015. Previous research has shown a continuously increasing size of the revenue response coefficient, which under certain conditions surpasses the value of the earnings response coefficient. READ MORE

  2. 2. Momentum strategies : Empirical evidence from the Swedish stock market

    University essay from Högskolan i Jönköping/IHH, Economics, Finance and Statistics; Högskolan i Jönköping/IHH, Economics, Finance and Statistics

    Author : Georgios Tsilfidis; Anita Nikolova; [2014]
    Keywords : Momentum Effect; Momentum Strategies; Trading Strategies; Efficient Market Hypothesis; Behavioral Finance;

    Abstract : 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. READ MORE

  3. 3. Momentum Investment Strategies with Portfolio Optimization : A Study on Nasdaq OMX Stockholm Large Cap

    University essay from Mälardalens högskola/Akademin för utbildning, kultur och kommunikation; Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

    Author : Robin Jonsson; Jessica Radeschnig; [2014]
    Keywords : Finance; Momentum Investments; Portfolio Theory; Portfolio Optimization; Naive Diversification; Asset Allocation; Mean-Variance Efficiency; Sharpe-Ratio Hypothesis Test;

    Abstract : This report covers a study testing the possibility of adding portfolio optimization by mean-variance analysis as a tool to extend the concept of momentum strategies in contrast to naive allocation formed by Jegadeesh & Titman (1993). Further these active investment strategies are compared with a passive benchmark as well as a randomly selected portfolio over the entire study-period. READ MORE

  4. 4. Momentum - Trendspotting in the Swedish Stock Market

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Henrik Fulgentiusson; Mykhaylo Kobelyats'Kyy; [2011]
    Keywords : Momentum; Market Efficiency; Fama and French; Carhart.; Business and Economics;

    Abstract : We set out to investigate the presence of momentum in the Swedish stock market in an attempt to distinguish whether the market displays the weak- and the semi-strong form of efficiency. Adopting a strategy similar to that of Jegadeesh and Titman (1993) and (2001), where past winners are bought and past loser are sold, we are able to show that momentum indeed is present, earning approximately 1 percent per month at a medium-term investment horizon. READ MORE

  5. 5. Momentum and Contrarian Trading Strategies: Evidence from the Chinese stock market 2000-2010

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Chaoqiong Shi; [2011]
    Keywords : Contrarian effect; Momentum effect; The relative strength portfolio; CAPM model; Overreaction; Underreaction.; Business and Economics;

    Abstract : The paper employs Jegadeesh and Titman (1993)’s overlapping ranking period method to build winner-portfolio and loser-portfolio, and thereafter conducts empirical studies on the momentum and contrarian effects on the Chinese stock market from 2000 to 2010. One thing worth mentioning here is that the author processes the data using her own Matlab codes instead of doing tremendous manual work. READ MORE