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Visar resultat 1 - 5 av 10 uppsatser som matchar ovanstående sökkriterier.

1. 1. Momentum Factor in Swedish Industries A Comprehensive Study during 2016-2022, with Emphasis on the COVID-19 Period

   Kandidat-uppsats, Göteborgs universitet/Företagsekonomiska institutionen

   Författare :Alex Holm; Ellioth Tilly; Thomas Eklind; [2023-09-01]
   Nyckelord :Momentum strategies; Volatility; Excess return; Jensen s Alpha; Covid -19. 1;

   Sammanfattning : The momentum strategy is a widely recognized investment approach that aims to generate abnormal returns by buying past winners and selling past losers. The purpose of this thesis is to investigate if the momentum strategy is applicable at Swedish industries and see if there are any differences between a longer and shorter holding and ranking period. LÄS MER

3. 2. Enhanced Risk-Adjusted Returns Through Momentum Adaptations - Analysis on Momentum Strategies in the Nordic Stock Market

   Master-uppsats, Göteborgs universitet/Graduate School

   Författare :Felix Nilsson; Bastiaan Picone; [2021-06-30]
   Nyckelord :Momentum Strategies; Momentum; Price Momentum; Idiosyncratic Momentum; Alpha Momentum; Momentum Adaptations; Constant-Volatility Scaling; Momentum Crash; Nordic Momentum; Volatility; Anomaly; Stock Returns;

   Sammanfattning : Momentum strategies where one buys past winners and sells past losers are one of the most persistent stock market anomalies, showcasing abnormal returns across different markets, asset classes and time periods. Nevertheless, price momentum has been shown by the financial literature to possess considerable hazards, such as high volatility and crash risks. LÄS MER

4. 3. 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

5. 4. MERGING MOMENTUM -THE EFFECTS OF COMBINED CRASH MITIGATING STRATEGIES

   Master-uppsats, Göteborgs universitet/Graduate School

   Författare :Sebastian Kavleskog; John Rolfsson; [2020-07-07]
   Nyckelord :momentum; momentum strategies; merging momentum; momentum crash; dynamic momentum; absolute strength momentum; extreme absolute strength momentum; risk-adjusted return; crash mitigating momentum;

   Sammanfattning : Momentum strategies offer tempting expected returns but suffer from occasional momentum crashes. Crash mitigating strategies, such as the Absolute momentum (Gulen and Petkova, 2018) and Extreme absolute strength momentum (Yang and Zhang, 2019), have proven effective in alleviating momentum crashes, while also offering better risk-adjusted returns compared to relative momentum strategies. LÄS MER

7. 5. ENHANCING MOMENTUM PROFITS THROUGH VOLATILITY TIMING AND COST MITIGATION TECHNIQUES

   Master-uppsats, Göteborgs universitet/Graduate School

   Författare :Nguyen Cao; Natalia Vdovina; [2019-07-02]
   Nyckelord :momentum; momentum strategy; momentum crash; volatility; transaction costs; turnover; return; volatility adjusted momentum; volatility timing;

   Sammanfattning : Despite the high expected returns of the momentum strategy, there are two main problems associated with it: (i) infrequent but severe losses known as momentum crashes, and (ii) high transaction costs. In this paper, we address the first problem with volatility timing strategies developed by Daniel and Moskowitz (2016) and Moreira and Muir (2017). LÄS MER