CROSS-SECTIONAL AND TIME SERIES MOMENTUM RETURNS EVIDENCE FROM THE SWEDISH STOCK MARKET

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. Additionally, the study compares the performance of these two momentum strategies by creating portfolios with varying lookback and holding periods. However, the primary focus is on the strategy with a 12-month lookback and a 1-month holding period. The results indicate that both momentum strategies generated positive returns over the analyzed period. However, time-series momentum was more effective for longer lookback periods, while cross-sectional momentum was more effective for shorter periods. Nevertheless, none of the findings for either momentum strategy were statistically significant in the Swedish stock market.