Momentum Factor in Swedish Industries A Comprehensive Study during 2016-2022, with Emphasis on the COVID-19 Period

Abstract: The momentum strategy is a widely recognized investment approach that aims to generate abnormal returns by buying past winners and selling past losers. The purpose of this thesis is to investigate if the momentum strategy is applicable at Swedish industries and see if there are any differences between a longer and shorter holding and ranking period. The periods that the momentum strategy will be based on in this thesis is three months and six months. This thesis will also investigate the efficacy of the momentum strategy during the covid-19 pandemic, times of heightened market volatility and economic uncertainty. Previous research shows that momentum strategy has a tendency to crash during times of financial distress. This thesis will use a quantitative method and use data collected from a database to investigate the time period 2016-2022. The result of this study indicates that the momentum strategy generates abnormal returns in Swedish industries, even during times of crisis and high volatility in the market. However the results from this thesis lack sufficient significance. Meaning that fortuity is the overall factor of the result given in this thesis with some exceptions in certain industries during certain holding periods presented in the result.