Momentumeffekten på den svenska Large Cap marknaden och verktyg för identifiering av trender i marknaden,

Detta är en C-uppsats från Handelshögskolan i Stockholm/Institutionen för marknadsföring och strategi

Sammanfattning: The Swedish Large Cap stock market exhibit short to medium term return continuation in stock prices. Between 2000 and 2017 the momentum strategy "buy and hold" 12/3 bought the top 10 % Swedish Large Cap stocks based on the previous 12 months price development and held the stocks for 3 months to then be repeated. The study proves a significant average monthly return of 1,71 % for the momentum strategy in comparison to an average monthly return of 0,14 % for the Swedish Index OMXS30. With the application of the monthly moving average 12 as a trend indicator, this paper could not find significant proof of higher returns for the momentum strategy. However, the monthly moving average 12 proved to yield significant higher returns applied on the OMXS30 with an average monthly return of 0,70 %.

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