Returns to Buying Winners and Selling Losers
(2018) NEKH02 20181Department 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.
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/8946470
- author
- Thejll, Tobias LU
- supervisor
- organization
- course
- NEKH02 20181
- year
- 2018
- 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}}, language = {{eng}}, note = {{Student Paper}}, title = {{Returns to Buying Winners and Selling Losers}}, year = {{2018}}, }