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Showing result 6 - 8 of 8 essays matching the above criteria.

  1. 6. 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

  3. 7. 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

  4. 8. The Momentum Effect: Evidence from the Swedish stock market

    University essay from Nationalekonomiska institutionen

    Author : Marcus Vilbern; [2008]
    Keywords : momentum effect; efficient market hypothesis; Jegadeesh and Titman;

    Abstract : This thesis investigates the profitability of the momentum strategy in the Swedish stock market. The momentum strategy is an investment strategy where past winners are bought and past losers are sold short. In this paper Swedish stocks are analyzed during the period 1999 – 2007 with the approach first used by Jegadeesh and Titman (1993). READ MORE