En studie av momentumeffekter på OMXS30
(2023) NEKH02 20231Department of Economics
- Abstract
- This paper investigates the literature concerning market efficiency and how that compares to behavioral finance. The works of Fama (1970) who laid the ground for the efficient market hypothesis and Jegadeesh & Titman (1993) who laid the ground for momentum strategies are both analyzed and compared against each other. A momentum study on the weekly returns regarding the Swedish stock market (OMXS 30) is also performed to add more empirical evidence to the thesis. The momentum portfolio in the study buys the stocks that achieved a return larger than the median the previous week and then holds the stocks for one week. No position is held in stocks that underperformed regards to their median weekly return. The risk adjusted excess return of... (More)
- This paper investigates the literature concerning market efficiency and how that compares to behavioral finance. The works of Fama (1970) who laid the ground for the efficient market hypothesis and Jegadeesh & Titman (1993) who laid the ground for momentum strategies are both analyzed and compared against each other. A momentum study on the weekly returns regarding the Swedish stock market (OMXS 30) is also performed to add more empirical evidence to the thesis. The momentum portfolio in the study buys the stocks that achieved a return larger than the median the previous week and then holds the stocks for one week. No position is held in stocks that underperformed regards to their median weekly return. The risk adjusted excess return of the studied momentum portfolio is not sufficient enough to outperform a passive investment strategy promoted by the efficient market hypothesis with regards to practical transaction costs. The conclusion is that both the EMH and behavioral finance theories are relevant and all market participants must take a stand regarding them both. (Less)
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/9118183
- author
- Johansson, Carl LU and Almryd, Anton LU
- supervisor
- organization
- course
- NEKH02 20231
- year
- 2023
- type
- M2 - Bachelor Degree
- subject
- keywords
- Momentum, EMH, Bias
- language
- Swedish
- id
- 9118183
- date added to LUP
- 2024-01-22 15:43:44
- date last changed
- 2024-01-22 15:43:44
@misc{9118183, abstract = {{This paper investigates the literature concerning market efficiency and how that compares to behavioral finance. The works of Fama (1970) who laid the ground for the efficient market hypothesis and Jegadeesh & Titman (1993) who laid the ground for momentum strategies are both analyzed and compared against each other. A momentum study on the weekly returns regarding the Swedish stock market (OMXS 30) is also performed to add more empirical evidence to the thesis. The momentum portfolio in the study buys the stocks that achieved a return larger than the median the previous week and then holds the stocks for one week. No position is held in stocks that underperformed regards to their median weekly return. The risk adjusted excess return of the studied momentum portfolio is not sufficient enough to outperform a passive investment strategy promoted by the efficient market hypothesis with regards to practical transaction costs. The conclusion is that both the EMH and behavioral finance theories are relevant and all market participants must take a stand regarding them both.}}, author = {{Johansson, Carl and Almryd, Anton}}, language = {{swe}}, note = {{Student Paper}}, title = {{En studie av momentumeffekter på OMXS30}}, year = {{2023}}, }