Essays about: "momentum strategies"
Showing result 1 - 5 of 87 essays containing the words momentum strategies.
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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. Unveiling the Relevancy of Momentum Strategies- A study on the Swedish Equity Market
University essay from Göteborgs universitet/Graduate SchoolAbstract : 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
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3. 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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4. 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
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5. A Quantitative Framework for Constructing a Multi-Asset CTA with a Momentum-Based Approach
University essay from Uppsala universitet/DatalogiAbstract : Commodity Trading Advisors (CTAs) have gained popularity due to their abilities to generate an absolute return strategy. Little is known about how CTAs work and what variables are important to tune in order to create a profitable strategy. READ MORE