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En studie av momentumeffekter på OMXS30

Johansson, Carl LU and Almryd, Anton LU (2023) NEKH02 20231
Department 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)
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author
Johansson, Carl LU and Almryd, Anton LU
supervisor
organization
course
NEKH02 20231
year
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}},
}