Essays about: "Momentum Portfolios"

Showing result 1 - 5 of 71 essays containing the words Momentum Portfolios.

  1. 1. The Impact of ESG-Scores on Portfolio Performance - A quantitative study on sustainable investments.

    University essay from Göteborgs universitet/Graduate School

    Author : Max Ehrnström; Yacob Nehmé; [2023-06-29]
    Keywords : ESG investing; Abnormal returns; Sustainable investing and Financial performance;

    Abstract : This report examines the relationship between ESG-scores and portfolio returns using the Fama-French five-factor and Carhart four-factor models. The data is collected from Refinitiv (2023) between 2003 and 2021 and consists of firms listed on the NYSE and NASDAQ stock exchange. READ MORE

  3. 2. Comparison of High ESG Portfolio Performance in Germany and Switzerland

    University essay from Göteborgs universitet/Graduate School

    Author : Nino Shakulashvili; Saud Talic; [2023-06-29]
    Keywords : ESG; Portfolio Performance; Fama French; Carhart; Risk Factors; Value; Size; Momentum; Germany; Switzerland;

    Abstract : 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

  4. 3. Unveiling the Relevancy of Momentum Strategies- A study on the Swedish Equity Market

    University essay from Göteborgs universitet/Graduate School

    Author : Oscar Bodin; Pär Börjeson; [2023-06-29]
    Keywords : ;

    Abstract : This study investigates the performance of the traditional return momentum strategy and the residual momentum strategy on the Swedish market over the period 1990 to 2022. The residual momentum strategy show higher risk-adjusted return compared to the traditional return momentum strategy in equally weighted portfolios, and the opposite in value-weighted portfolios. READ MORE

  5. 4. Exploring Momentum: The Hidden Drivers of Stock Returns in the Nordic Market

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Axel Dillner; Johanna Roos; [2023]
    Keywords : Momentum; Price Momentum; Earnings Momentum; Earnings Surprises; Standardized Earnings Surprise; SES;

    Abstract : This thesis investigates the relationship between price momentum, earnings momentum, and stock returns in the Nordic region by examining the risk-adjusted performance measures of various momentum strategy portfolios. Inspired by Novy-Marx's 2015 theory that momentum in firm fundamentals explains the performance of price momentum strategies, this study seeks to provide deeper insights into momentum drivers and their implications for investment professionals. READ MORE

  6. 5. CROSS-SECTIONAL AND TIME SERIES MOMENTUM RETURNS EVIDENCE FROM THE SWEDISH STOCK MARKET

    University essay from KTH/Matematisk statistik

    Author : Mahsa Badakhsh; [2023]
    Keywords : cross-sectional momentum; time-series momentum; market efficiency; random walk; ex-ante volatility; cross-sectional momentum; time-series momentum; marknadseffektivitet; random walk; ex-ante volatilitet;

    Abstract : The study investigates the presence of the momentum effect in the Swedish stock market by utilizing both cross-sectional introduced by Jegadeesh and Titman (1993) and time-series momentum introduced by Moskowtozt et al. (2011). The period of analysis is between 1998 to 2022. READ MORE