Sökning: "Mahsa Badakhsh"

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  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