Essays about: "Alpha Momentum"
Showing result 1 - 5 of 26 essays containing the words Alpha Momentum.
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1. Momentum Factor in Swedish Industries A Comprehensive Study during 2016-2022, with Emphasis on the COVID-19 Period
University essay from Göteborgs universitet/Företagsekonomiska institutionenAbstract : 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. READ MORE
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2. Comparison of High ESG Portfolio Performance in Germany and Switzerland
University essay from Göteborgs universitet/Graduate SchoolAbstract : This study focuses on the relationship between stock return performance and sustainability, the latter taking the form of the Environmental, Social, and Governance (ESG) framework. The paper provides a comparative setting in which stocks of companies headquartered in Germany and Switzerland are examined. READ MORE
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3. Mimicking Claimed Alpha Generating Strategies
University essay from Linköpings universitet/ProduktionsekonomiAbstract : This research paper focuses on the implementation and evaluation of Minervini's momentum analysis techniques in an algorithmic approach. The study aimed to assess the limitations and challenges associated with executing Minervini's strategy in an algorithmic trading system. READ MORE
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4. Performance of Small- and Large-cap stock portfolios- The importance of market anomalies across business cycles
University essay from Göteborgs universitet/Graduate SchoolAbstract : This Master´s thesis investigated the importance of the market anomalies size (market capitalization), value (Book-to-Market ratio) and momentum (lagged short-term momentum) for equity returns of small- and large-cap composite stock portfolios. The study focused on two contrasting stock markets (NASDAQ OMX and NYSE) across domestic business cycles over the time-period 2006 to 2021. READ MORE
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5. Enhanced Risk-Adjusted Returns Through Momentum Adaptations - Analysis on Momentum Strategies in the Nordic Stock Market
University essay from Göteborgs universitet/Graduate SchoolAbstract : Momentum strategies where one buys past winners and sells past losers are one of the most persistent stock market anomalies, showcasing abnormal returns across different markets, asset classes and time periods. Nevertheless, price momentum has been shown by the financial literature to possess considerable hazards, such as high volatility and crash risks. READ MORE