En studie av momentumeffekter på OMXS30

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. A momentum study on the weekly returns regarding the Swedish stock market (OMXS 30) is also performed to add more empirical evidence to the thesis. The momentum portfolio in the study buys the stocks that achieved a return larger than the median the previous week and then holds the stocks for one week. No position is held in stocks that underperformed regards to their median weekly return. The risk adjusted excess return of the studied momentum portfolio is not sufficient enough to outperform a passive investment strategy promoted by the efficient market hypothesis with regards to practical transaction costs. The conclusion is that both the EMH and behavioral finance theories are relevant and all market participants must take a stand regarding them both.