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Showing result 1 - 5 of 10 essays matching the above criteria.

  1. 1. Momentum Strategies in Commodity Futures Market: A Quantitative study

    University essay from Umeå universitet/Företagsekonomi

    Author : Jino Badinson; Alfred Gunnarsson; [2023]
    Keywords : Momentum Effect; Contrarian Effect; Investment Strategy; Commodity Futures; Efficient Market Hypothesis; Behavioral Finance Theory;

    Abstract : This study employs a quantitative approach to investigate the momentum phenomenon in the commodity futures market. The study captures the phenomenon using two momentum indicators, namely, MACD and RSI, and extends the scope of indicator utilization to both joint and single usage. READ MORE

  3. 2. Trading on Parsimonious Prediction Models: Simply Genius or Genuinely Too Simplistic? - A 'fundamental analysis'-based test of market efficiency in the U.S.

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

    Author : Tilman Schwarzenberg; Frederik Motzet; [2016]
    Keywords : Market efficiency testing; Market mispricing; ROE prediction; Fundamental analysis; Residual income valuation;

    Abstract : In the mature field of fundamental analysis (FA) and market efficiency tests, the study of Skogsvik & Skogsvik (2010) stands out in that it generates significant abnormal returns using a parsimonious ROE-based investment strategy in the Swedish market. To test the robustness of their results across countries and time periods, the aim of this thesis is twofold: First, it is investigated whether a simple FA-based trading strategy can generate similar excess returns on a large U. READ MORE

  4. 3. Exploiting Market Reactions to Dividend Cuts : Contrarian Trading Strategies in a Short Investment Horizon - Evidence from the Swedish Stock Market

    University essay from Uppsala universitet/Företagsekonomiska institutionen

    Author : Jacob Magnusson Magnusson; N. E. Ludvig Karlsson; [2016]
    Keywords : Contrarian Trading Strategies; Dividend Announcements; Abnormal Returns; Event Study;

    Abstract : This paper investigates the impact of dividend reduction announcements on the returns to stocks listed on the Stockholm Stock Exchange. We perform an event study on dividend cutting firms between 2002-2016 to determine if contrarian trading on the basis of negative dividend announcement yields abnormal returns. READ MORE

  5. 4. Serial Dependence and Portfolio Performance in the Swedish Stock Market

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Niklas Hummel; [2016]
    Keywords : Vector autoregression; portfolio choice; Business and Economics;

    Abstract : This paper studies the possibility to exploit linear dependence in stock returns of the Swedish OMX 30 index. The main model studied in the paper is a Vector autoregressive (VAR) model. Ten years of data from the OMX 30 index is used, consisting of 27 stocks for the period 2006-2015 which is transformed into daily, weekly and monthly returns. READ MORE

  6. 5. Beating the Swedish Market : A dynamic approach to Value Investing using Modern Portfolio Theory

    University essay from Institutionen för ekonomi och företagande

    Author : Viktor Karlsson; Emil Nygren; [2012]
    Keywords : Behavioural Finance; Capital Asset Pricing Model; Contrarian; Efficient Market Hypothesis; Glamour stocks; Investment Strategy; Market-to-Book-Value; Minimum-Variance; Modern Portfolio Theory; Risk-adjusted performance; Stock screening; Value stocks;

    Abstract : Previous research has confirmed the existence of a value premium in a wide array of markets and using this value stock anomaly has yielded superior performance. This thesis investigates if one could take advantage of the existence of a value premium to deploy a dynamic investment strategy on the Swedish stock market (OMXS30) with focus on minimizing risk to achieve higher risk adjusted performance than the stock market index. READ MORE