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Unveiling the Relevancy of Momentum Strategies- A study on the Swedish Equity Market

Abstract
This study investigates the performance of the traditional return momentum strategy and the residual momentum strategy on the Swedish market over the period 1990 to 2022. The residual momentum strategy show higher risk-adjusted return compared to the traditional return momentum strategy in equally weighted portfolios, and the opposite in value-weighted portfolios. A key finding is that the residual momentum strategies experience notably lower volatility overall. In addition, we find the momentum strategies to be size-dependent and perform significantly better in the medium-sized companies. In the end, it is still difficult to say whether strategies like this will generate positive return in real life since momentum investing is plagued by high turnover, which implies high transaction costs.
Degree
Master 2-years
Other description
MSc in Finance
URI
https://hdl.handle.net/2077/77551
Collections
  • Master theses
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FIN 2023-205.pdf (480.6Kb)
Date
2023-06-29
Author
Bodin, Oscar
Börjeson, Pär
Series/Report no.
2023:205
Language
eng
Metadata
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