Essays about: "Momentum Returns"
Showing result 1 - 5 of 108 essays containing the words Momentum Returns.
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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. The Impact of ESG-Scores on Portfolio Performance - A quantitative study on sustainable investments.
University essay from Göteborgs universitet/Graduate SchoolAbstract : 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
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3. 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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4. Exploring Momentum: The Hidden Drivers of Stock Returns in the Nordic Market
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : 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
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5. CROSS-SECTIONAL AND TIME SERIES MOMENTUM RETURNS EVIDENCE FROM THE SWEDISH STOCK MARKET
University essay from KTH/Matematisk statistikAbstract : 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