Sökning: "Jegadeesh and Titman"

Visar resultat 1 - 5 av 8 uppsatser innehållade orden Jegadeesh and Titman.

1. 1. CROSS-SECTIONAL AND TIME SERIES MOMENTUM RETURNS EVIDENCE FROM THE SWEDISH STOCK MARKET

   Kandidat-uppsats, KTH/Matematisk statistik

   Författare :Mahsa Badakhsh; [2023]
   Nyckelord :cross-sectional momentum; time-series momentum; market efficiency; random walk; ex-ante volatility; cross-sectional momentum; time-series momentum; marknadseffektivitet; random walk; ex-ante volatilitet;

   Sammanfattning : The study investigates the presence of the momentum effect in the Swedish stock market by utilizing both cross-sectional introduced by Jegadeesh and Titman (1993) and time-series momentum introduced by Moskowtozt et al. (2011). The period of analysis is between 1998 to 2022. LÄS MER

3. 2. En studie av momentumeffekter på OMXS30

   Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Carl Johansson; Anton Almryd; [2023]
   Nyckelord :Momentum; EMH; Bias; Business and Economics;

   Sammanfattning : 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. LÄS MER

4. 3. Momentum in Financial Crises: An Evaluation of the Momentum Investing Strategy During Different Time Periods

   C-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Författare :Lovisa Berglund; Filip Fröjd; [2021]
   Nyckelord :Big Data; Momentum; Finance; Financial Crises; Investment Strategy;

   Sammanfattning : This thesis investigates the momentum investing strategy during the years 1927 to 2020. The research focuses on both longer time periods and smaller periods of time, more specifically financial crises. This thesis has obtained inspiration from previous research in the area by Jegadeesh and Titman (1993) as well as Daniel and Moskowitz (2016). LÄS MER

5. 4. Momentum strategies : Empirical evidence from the Swedish stock market

   Magister-uppsats, Högskolan i Jönköping/IHH, Economics, Finance and Statistics

   Författare :Georgios Tsilfidis; Anita Nikolova; [2014]
   Nyckelord :Momentum Effect; Momentum Strategies; Trading Strategies; Efficient Market Hypothesis; Behavioral Finance;

   Sammanfattning : The study is based on the study of Jegadeesh and Titman (1993, 2001) which found evidence of succesfull trading strategies which yielded significant positive abnormal returns by exploiting a momentum pattern in stock prices. The purpose of this study is to contribute with empirical results to the discussions of efficient markets, momentum effects and behavioral finance by providing evidence from the Swedish stock market between the years 1998 and 2013. LÄS MER

7. 5. Momentum Investment Strategies with Portfolio Optimization : A Study on Nasdaq OMX Stockholm Large Cap

   Kandidat-uppsats, Akademin för utbildning, kultur och kommunikation

   Författare :Robin Jonsson; Jessica Radeschnig; [2014]
   Nyckelord :Finance; Momentum Investments; Portfolio Theory; Portfolio Optimization; Naive Diversification; Asset Allocation; Mean-Variance Efficiency; Sharpe-Ratio Hypothesis Test;

   Sammanfattning : This report covers a study testing the possibility of adding portfolio optimization by mean-variance analysis as a tool to extend the concept of momentum strategies in contrast to naive allocation formed by Jegadeesh & Titman (1993). Further these active investment strategies are compared with a passive benchmark as well as a randomly selected portfolio over the entire study-period. LÄS MER