Alpha analysis - A momentum and performance metrics study of the efficient market hypothesis
(2012) NEKM01 20111Department of Economics
- Abstract
- In this study the efficiency of the Nordic stock markets are tested. The evaluation period is 16 years, between 1995 and 2010. Monthly data on stock returns, D/Y, P/C, P/E, PTBV and EV/EBITDA are used to create six different single sorted portfolios. The portfolio evaluation periods and holding periods are set to six months. Our findings indicate that all of our single sorted portfolios could generate abnormal returns. These results are compared to that of the double sorted portfolios in order to investigate the profitability of different investment strategies. In the double sorted portfolios the momentum strategy is combined with each of the five performance metrics. In these regressions, the results indicate that the double sorted... (More)
- In this study the efficiency of the Nordic stock markets are tested. The evaluation period is 16 years, between 1995 and 2010. Monthly data on stock returns, D/Y, P/C, P/E, PTBV and EV/EBITDA are used to create six different single sorted portfolios. The portfolio evaluation periods and holding periods are set to six months. Our findings indicate that all of our single sorted portfolios could generate abnormal returns. These results are compared to that of the double sorted portfolios in order to investigate the profitability of different investment strategies. In the double sorted portfolios the momentum strategy is combined with each of the five performance metrics. In these regressions, the results indicate that the double sorted portfolios generate larger abnormal returns compared to that of the single sorted portfolios. These findings could have many causes, but the nature of the results indicates that the value based strategies aggravate the momentum effect, leading us to believe that the results could be emulated using a more extreme selection process based on the momentum effect. (Less)
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/2302460
- author
- Nilsson, Andreas LU and Lindberg, Mikael LU
- supervisor
- organization
- course
- NEKM01 20111
- year
- 2012
- type
- H1 - Master's Degree (One Year)
- subject
- keywords
- Momentum, Value strategies, Performance metrics, Abnormal returns, Efficient market hypothesis
- language
- English
- id
- 2302460
- date added to LUP
- 2012-02-13 10:20:52
- date last changed
- 2012-02-13 10:20:52
@misc{2302460, abstract = {{In this study the efficiency of the Nordic stock markets are tested. The evaluation period is 16 years, between 1995 and 2010. Monthly data on stock returns, D/Y, P/C, P/E, PTBV and EV/EBITDA are used to create six different single sorted portfolios. The portfolio evaluation periods and holding periods are set to six months. Our findings indicate that all of our single sorted portfolios could generate abnormal returns. These results are compared to that of the double sorted portfolios in order to investigate the profitability of different investment strategies. In the double sorted portfolios the momentum strategy is combined with each of the five performance metrics. In these regressions, the results indicate that the double sorted portfolios generate larger abnormal returns compared to that of the single sorted portfolios. These findings could have many causes, but the nature of the results indicates that the value based strategies aggravate the momentum effect, leading us to believe that the results could be emulated using a more extreme selection process based on the momentum effect.}}, author = {{Nilsson, Andreas and Lindberg, Mikael}}, language = {{eng}}, note = {{Student Paper}}, title = {{Alpha analysis - A momentum and performance metrics study of the efficient market hypothesis}}, year = {{2012}}, }