Sökning: "momentum strategies"

Visar resultat 6 - 10 av 102 uppsatser innehållade orden momentum strategies.

  1. 6. Quantitative Investment Strategies on the Swedish Stock Market

    Kandidat-uppsats, Mälardalens universitet/Akademin för utbildning, kultur och kommunikation

    Författare :Jonatan Knutsson; Gabija Telešova; [2023]
    Nyckelord :Quantitative investment strategies; Quantitative trading strategies; Dividend yield strategy; EV EBITDA strategy; Momentum strategy; Equal-weighted portfolios; Value-weighted portfolios; Swedish stock market.;

    Sammanfattning : This thesis explores the implementation of three quantitative investment strategies – the dividend yield strategy, the EV/EBITDA strategy, and the momentum strategy – within the Swedish stock market using Equal-Weighted Portfolios (EWP) and Value-Weighted Portfolios(VWP). The analysis is based on backtesting during the periods 2009 − 2022, 2001 − 2022, and 1992 − 2022, for each strategy respectively. LÄS MER

  3. 7. 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

  4. 8. Momentum Strategies in Commodity Futures Market: A Quantitative study

    Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Företagsekonomi

    Författare :Jino Badinson; Alfred Gunnarsson; [2023]
    Nyckelord :Momentum Effect; Contrarian Effect; Investment Strategy; Commodity Futures; Efficient Market Hypothesis; Behavioral Finance Theory;

    Sammanfattning : This study employs a quantitative approach to investigate the momentum phenomenon in the commodity futures market. The study captures the phenomenon using two momentum indicators, namely, MACD and RSI, and extends the scope of indicator utilization to both joint and single usage. LÄS MER

  5. 9. Exploring the Issues with ESG assessments in Investment Decision-Making : Insights from the Swedish Fund Market

    Master-uppsats, KTH/Skolan för industriell teknik och management (ITM)

    Författare :Victoria Engström Kindmark; Ellen Surtevall; [2023]
    Nyckelord :ESG assessment; ESG rating; issues; challenges; sustainable investing; investment decision; mutual funds; ESG-bedömning; ESG betyg; utmaningar; svårigheter; hållbara investeringar; investeringsbeslut; fonder;

    Sammanfattning : Sustainable investing has seen a significant increase in the past years and is continuing to gain momentum with the constant rise of awareness and concern of the climate crisis. It is necessary for modern mutual fund companies to conduct ESG assessments as it provides a comprehensive understanding of a firm's sustainability performance, and identifies potential risks and opportunities which lay ground for investment decisions. LÄS MER

  7. 10. 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