A Study of Momentum Effects on the Swedish Stock Market using Time Series Regression

Abstract: This study investigates if momentum effects can be found on the Swedish stock market by testing a cross-sectional momentum strategy on historical data. To explain the results mathematically, a second approach, involving time series regression for predicting future returns is introduced and thereby extends the cross-sectional theory. The result of the study shows that momentum effects through the cross-sectional strategy exist on the Swedish stock market. Although positive return is found, the time series regression do not give any significance for predicting future returns. Hence, there is a contradiction between the two approaches.