Sökning: "time series momentum"

Visar resultat 1 - 5 av 18 uppsatser innehållade orden time series momentum.

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

3. 2. 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. 3. Does the sinner beat the saint? An empirical study of the Nordic stock market

   Master-uppsats, Göteborgs universitet/Graduate School

   Författare :Jonathan Winberg; [2019-11-27]
   Nyckelord :Sin Stocks; Sin Stock Anomaly; Nordic Stock Market; Fama-French Three-Factor Model; CAPM; Asset Pricing Models; Portfolio Asset Management; OLS; Gambling; Tobacco; Alcohol; Weapons; Oil Gas; Self-Financing; Portfolio Strategy;

   Sammanfattning : Abstract This research paper studies the interaction between monthly returns of sin stock portfolios, where the purpose is to get an understanding of what impact an exclusion of sin stocks can have on portfolio returns for Nordic stock investors. OLS (ordinary least squares) time-series regression models are used to execute this research, using data between 1990-2018. LÄS MER

5. 4. Performance of Asset Pricing Models in the Nordic Stock Markets

   Master-uppsats, Göteborgs universitet/Graduate School

   Författare :Jonas Olsson; [2019-07-02]
   Nyckelord :;

   Sammanfattning : This study aims to investigate the performance of four different asset pricing models, the Fama and French (1993) three factor model, the Carhart (1997) four factor model, the Fama and French (2015) five factor model, and the Hou et al. (2015) model, in the Nordic stock markets. LÄS MER

7. 5. Utilizing Machine Learning for Trading Algorithms Exploiting the Time Series Momentum Anomaly

   Master-uppsats, Lunds universitet/Matematisk statistik

   Författare :Martin Odenbrand; Sebastian Svensson Bromert; [2019]
   Nyckelord :Machine learning; time series momentum; moving average crossover; MACD; Hodrick-Prescott filter; random forest; pricing anomaly; computational finance; Mathematics and Statistics;

   Sammanfattning : Momentum or trend following investing refers to trading strategies constructed around the idea that in financial markets, the current trend will, more often then not, prevail. In the context of asset prices, this means that previous returns or the price development of an asset is indicative of similar future returns and price development. LÄS MER