Momentum During Intraday. Trading Evidence from US NASDAQ

dc.contributor.author	Frösing, Kristoffer
dc.date.accessioned	2017-07-25T12:06:51Z
dc.date.available	2017-07-25T12:06:51Z
dc.date.issued	2017-07-25
dc.identifier.uri	http://hdl.handle.net/2077/53116
dc.description	MSc in Finance	sv
dc.description.abstract	Both momentum and contrarian strategies have shown to provide investors with high risk-adjusted returns when applied on daily, weekly and monthly data. This study examines the effect of the underreaction phenomenon on the US NASDAQ stock market between November 2016 and February 2017. I implement a simple relative strength strategy, which identifies the strongest and weakest performing stocks and invest in the assets momentum. The portfolios formed yields abnormal risk-adjusted returns during mid-day trading when applied to intraday data. These abnormal returns are consistent when market frictions are low, and after testing for market, size and value factors.	sv
dc.language.iso	eng	sv
dc.relation.ispartofseries	Master Degree Project	sv
dc.relation.ispartofseries	2017:150	sv
dc.subject	Momentum	sv
dc.subject	Contrarian	sv
dc.subject	Relative strength	sv
dc.subject	Intraday	sv
dc.subject	Trading strategy	sv
dc.subject	Abnormal returns	sv
dc.title	Momentum During Intraday. Trading Evidence from US NASDAQ	sv
dc.type	Text
dc.setspec.uppsok	SocialBehaviourLaw
dc.type.uppsok	H2
dc.contributor.department	University of Gothenburg/Graduate School	eng
dc.contributor.department	Göteborgs universitet/Graduate School	swe
dc.type.degree	Master 2-years