Momentum in Financial Crises: An Evaluation of the Momentum Investing Strategy During Different Time Periods
Abstract: This thesis investigates the momentum investing strategy during the years 1927 to 2020. The research focuses on both longer time periods and smaller periods of time, more specifically financial crises. This thesis has obtained inspiration from previous research in the area by Jegadeesh and Titman (1993) as well as Daniel and Moskowitz (2016). The methodology follows these two articles with an extension regarding both time period examined as well as test used over different periods. The main question of the thesis is as follows: Does the momentum strategy hold for financial crises in the American stock market during the last century, including the recent Covid crisis? The sub question of this thesis is: Does the momentum strategy hold for the last decade and century in the American stock market? The results point in favour of rejecting the null hypothesis and the study concludes that momentum investing strategy is successful over longer periods but fails in financial crises.
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