Sökning: "momentum return"

Visar resultat 6 - 10 av 104 uppsatser innehållade orden momentum return.

  1. 6. En studie av momentumeffekter på OMXS30

    Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Carl Johansson; Anton Almryd; [2023]
    Nyckelord :Momentum; EMH; Bias; Business and Economics;

    Sammanfattning : This paper investigates the literature concerning market efficiency and how that compares to behavioral finance. The works of Fama (1970) who laid the ground for the efficient market hypothesis and Jegadeesh & Titman (1993) who laid the ground for momentum strategies are both analyzed and compared against each other. LÄS MER

  3. 7. Following the trend? : Using a time series momentum strategy on the Swedish stock market

    Kandidat-uppsats, Umeå universitet/Nationalekonomi

    Författare :Markus Haglund; [2023]
    Nyckelord :;

    Sammanfattning : The momentum strategy can be divided into two different sections where this study has focused on a time series momentum strategy where assets that in the previous period will continue in the same trend the following period. This theory stands in opposition to the efficient market hypothesis which in its weakest market form says that all previous market data is already incorporated in the price the asset is selling for today, and by that, it cannot be used to make abnormal profits. LÄS MER

  4. 8. Mimicking Claimed Alpha Generating Strategies

    Master-uppsats, Linköpings universitet/Produktionsekonomi

    Författare :Patric Torén; [2023]
    Nyckelord :Momentum Strategy Mark Minervini Volume Excess return Nordic Market;

    Sammanfattning : This research paper focuses on the implementation and evaluation of Minervini's momentum analysis techniques in an algorithmic approach. The study aimed to assess the limitations and challenges associated with executing Minervini's strategy in an algorithmic trading system. LÄS MER

  5. 9. Factor Investing and ESG Integration in Regime-switching Models- An Empirical Study on ESG Factor Integration Using Infinite Hidden Markov Models

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Arien Haghshenas; Martin Karim; [2022-06-29]
    Nyckelord :ESG; Hidden Markov Models; Factor investing; Machine learning; Portfolio construction; Regime-switching models;

    Sammanfattning : ESG investing is an active area of interest, both for the investment and academic communities. However, research is inconclusive on the financial benefits of integrating ESG factors in portfolio construction. LÄS MER

  7. 10. Har Carharts fyrfaktormodell en högre förklaringsgrad än Fama-Frenchs trefaktormodell? : En kvantitativ studie som utvärderar Carharts fyrfaktormodell och Fama-Frenchs trefaktormodell på den svenska aktiemarknaden.

    Kandidat-uppsats, Södertörns högskola/Institutionen för samhällsvetenskaper

    Författare :Marsa Teklay Zeray; [2022]
    Nyckelord :Carhart four-factor model; Fama-French three-factor model; Swedish stock market; Degree of explanation; Adjusted R-square; Portfolio return; Risk; Carhart fyrfaktormodell; Fama-French trefaktormodell; Svenska aktiemarknaden; Förklaringsgrad; Justerad R-kvadrat; Portföljavkastning; Risk;

    Sammanfattning : Syfte: Syftet med studien är att analysera och utvärdera Carharts fyrfaktormodells och Fama- Frenchs trefaktormodells prestanda vid portföljavkastning på den svenska aktiemarknaden, under perioden 2011–2020. Teori: Denna studie grundar sig i den effektiva marknadshypotesen, Fama och Frenchs trefaktormodell samt Carharts fyrfaktormodell. LÄS MER