Advanced

Momentum - Trendspotting in the Swedish Stock Market

Fulgentiusson, Henrik LU and Kobelyats'Kyy, Mykhaylo LU (2011) NEKM01 20111
Department of Economics
Abstract
We set out to investigate the presence of momentum in the Swedish stock market in an attempt to distinguish whether the market displays the weak- and the semi-strong form of efficiency. Adopting a strategy similar to that of Jegadeesh and Titman (1993) and (2001), where past winners are bought and past loser are sold, we are able to show that momentum indeed is present, earning approximately 1 percent per month at a medium-term investment horizon. When investigating the sources of the momentum profits we find that neither the CAPM nor the Fama and French three-factor model are sufficient in explaining this phenomenon. After establishing that these profits were robust to these risk factors, we used the momentum factor in order to estimate... (More)
We set out to investigate the presence of momentum in the Swedish stock market in an attempt to distinguish whether the market displays the weak- and the semi-strong form of efficiency. Adopting a strategy similar to that of Jegadeesh and Titman (1993) and (2001), where past winners are bought and past loser are sold, we are able to show that momentum indeed is present, earning approximately 1 percent per month at a medium-term investment horizon. When investigating the sources of the momentum profits we find that neither the CAPM nor the Fama and French three-factor model are sufficient in explaining this phenomenon. After establishing that these profits were robust to these risk factors, we used the momentum factor in order to estimate the Carhart (1997) four-factor model. Comparing it to the three-factor model, we find that the momentum factor is significant and might be helpful in explaining variations in stock return. (Less)
Please use this url to cite or link to this publication:
author
Fulgentiusson, Henrik LU and Kobelyats'Kyy, Mykhaylo LU
supervisor
organization
course
NEKM01 20111
year
type
H1 - Master's Degree (One Year)
subject
keywords
Momentum, Market Efficiency, Fama and French, Carhart.
language
English
id
2154813
date added to LUP
2011-09-27 09:09:47
date last changed
2011-09-27 09:09:47
@misc{2154813,
  abstract     = {We set out to investigate the presence of momentum in the Swedish stock market in an attempt to distinguish whether the market displays the weak- and the semi-strong form of efficiency. Adopting a strategy similar to that of Jegadeesh and Titman (1993) and (2001), where past winners are bought and past loser are sold, we are able to show that momentum indeed is present, earning approximately 1 percent per month at a medium-term investment horizon. When investigating the sources of the momentum profits we find that neither the CAPM nor the Fama and French three-factor model are sufficient in explaining this phenomenon. After establishing that these profits were robust to these risk factors, we used the momentum factor in order to estimate the Carhart (1997) four-factor model. Comparing it to the three-factor model, we find that the momentum factor is significant and might be helpful in explaining variations in stock return.},
  author       = {Fulgentiusson, Henrik and Kobelyats'Kyy, Mykhaylo},
  keyword      = {Momentum,Market Efficiency,Fama and French,Carhart.},
  language     = {eng},
  note         = {Student Paper},
  title        = {Momentum - Trendspotting in the Swedish Stock Market},
  year         = {2011},
}