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Returns to Buying Winners and Selling Losers

Thejll, Tobias LU (2018) NEKH02 20181
Department of Economics
Abstract
The argument put forward in this paper is that stocks listed on the Stockholm Stock Exchange, from 1993 to 2016, exhibits return continuation over an intermediate-horizon. The best performing strategy, which selects stocks based on the previous six months’ returns and holds the portfolio for three subsequent months, yields an average monthly return of 2.33%. Moreover, results are robust after risk-adjustment. The Capital Asset Pricing Model, as well as the Fama and French three-factor model, produce qualitatively incorrect predictions that losers are riskier, which consequently increases the risk-adjusted return rather than decreasing it.
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author
Thejll, Tobias LU
supervisor
organization
course
NEKH02 20181
year
type
M2 - Bachelor Degree
subject
keywords
Return Continuation, Price Momentum, Stockholm Stock Exchange, CAPM, Fama and French Three-Factor Model
language
English
id
8946470
date added to LUP
2018-07-05 11:25:57
date last changed
2018-07-05 11:25:57
@misc{8946470,
  abstract     = {The argument put forward in this paper is that stocks listed on the Stockholm Stock Exchange, from 1993 to 2016, exhibits return continuation over an intermediate-horizon. The best performing strategy, which selects stocks based on the previous six months’ returns and holds the portfolio for three subsequent months, yields an average monthly return of 2.33%. Moreover, results are robust after risk-adjustment. The Capital Asset Pricing Model, as well as the Fama and French three-factor model, produce qualitatively incorrect predictions that losers are riskier, which consequently increases the risk-adjusted return rather than decreasing it.},
  author       = {Thejll, Tobias},
  keyword      = {Return Continuation,Price Momentum,Stockholm Stock Exchange,CAPM,Fama and French Three-Factor Model},
  language     = {eng},
  note         = {Student Paper},
  title        = {Returns to Buying Winners and Selling Losers},
  year         = {2018},
}