Sökning: "Idiosynkratiskt Momentum"
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1. Residual Momentum and Volatility – Managed Portfolios : A Study on the Swedish Equity Market
Master-uppsats, KTH/Fastighetsföretagande och finansiella systemSammanfattning : In this paper, we present empirical results from the Swedish equity market when testingdifferent strategies aiming at enhancing the performance of a momentum strategy, over a timeperiod from 2000 to 2021. Similar to research conducted on other markets, we find theexistence of a momentum premium on the Swedish equity market, but with a return that is fattailed and negatively skewed. LÄS MER
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