Riding the Market - The Applied Momentum Strategy on OMXS
Sammanfattning: The purpose of this thesis is to determine whether the momentum strategy is applicable on the Nasdaq OMX Stockholm Stock Exchange, between the years of 1995 and 2015, for the average investor. We take the average investor's point of view throughout this study by adjusting the methods previously applied, to include some of the market realities facing the individual, e.g. including transaction costs and taxes and by not short selling any stocks. Each portfolio is constructed at the end of each evaluation period and includes the historically top ten performing stocks and is held for a number of months, (either three, six or twelve), which we denote as the holding period. We are unable to find statistically significant excess returns of the applicable momentum strategy when it is compared to the returns of the market portfolio, which represents the option for the average investor to apply a buy-and-hold strategy. However, the findings suggest that while not significant, some portfolios do outperform the market, mainly represented by portfolios with long evaluation and short holding periods.
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