Sökning: "Monthly Moving Averages"

Hittade 2 uppsatser innehållade orden Monthly Moving Averages.

1. 1. Momentum and Trend in Sweden: Enhancing profits and limiting downside risk by using indicators from different time horizons

   Master-uppsats, Göteborgs universitet/Graduate School

   Författare :Alan Dari Lindahl; Jan Wiki; [2020-07-07]
   Nyckelord :momentum; momentum crash; echo; trend; moving averages; cross-section; downside risks; predictability; factor models; turnover; transaction costs;

   Sammanfattning : Although being one of the most robust anomalies ever discovered, the momentum factor occasionally suffer big losses during market recessions periods. We apply and compare different factor models, and find that when sorting the momentum factor on prior 2-6 months it earns a higher average monthly return compared to the common sorting on prior 2-12 months. LÄS MER

3. 2. Momentumeffekten på den svenska Large Cap marknaden och verktyg för identifiering av trender i marknaden,

   C-uppsats, Handelshögskolan i Stockholm/Institutionen för marknadsföring och strategi

   Författare :Johannes Vestin; [2017]
   Nyckelord :Momentum effect; Trend filter; Trend indicator; Monthly Moving Averages; Large Cap;

   Sammanfattning : The Swedish Large Cap stock market exhibit short to medium term return continuation in stock prices. Between 2000 and 2017 the momentum strategy "buy and hold" 12/3 bought the top 10 % Swedish Large Cap stocks based on the previous 12 months price development and held the stocks for 3 months to then be repeated. LÄS MER