Essays about: "Sebastian Benic"

Found 1 essay containing the words Sebastian Benic.

  1. 1. Momentum Returns in Different Market Climates: Evidence from the Pakistani Stock Market

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Ludvig Övergaard; Sebastian Benic; [2019]
    Keywords : Momentum Returns; Pakistani Stock Market; Market Climates; Dual Beta;

    Abstract : In our study, we investigate the risk-return relationship under different market-climates for the momentum strategy on the Pakistan stock exchange (PSX) between February 1999 and February 2019. We test three strategies with different formation/holding-periods; 3/3, 6/6 and 12/3. We use a single-factor model (CAPM) to analyze these relationships. READ MORE