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Enhanced Risk-Adjusted Returns Through Momentum Adaptations - Analysis on Momentum Strategies in the Nordic Stock Market

Sammanfattning
Momentum strategies where one buys past winners and sells past losers are one of the most persistent stock market anomalies, showcasing abnormal returns across different markets, asset classes and time periods. Nevertheless, price momentum has been shown by the financial literature to possess considerable hazards, such as high volatility and crash risks. This has consequently led to the introduction of enhanced momentum strategies including both alpha and idiosyncratic momentum, that aim to provide abnormal returns with less risk. The purpose of the thesis is therefore to investigate and compare momentum strategies in the Nordic stock market to identify which strategy provides the best risk-adjusted returns. The results indicate that momentum profits also exist in the Nordics with support found for both behavioral- and risk-based explanations. Furthermore, the alpha momentum strategy consistently demonstrates superior risk-adjusted returns across multiple settings.
Examinationsnivå
Master 2-years
Övrig beskrivning
MSc in Finance
URL:
http://hdl.handle.net/2077/68954
Samlingar
  • Master theses
Fil(er)
gupea_2077_68954_1.pdf (1.740Mb)
Datum
2021-06-30
Författare
Nilsson, Felix
Picone, Bastiaan
Nyckelord
Momentum Strategies
Momentum
Price Momentum
Idiosyncratic Momentum
Alpha Momentum
Momentum Adaptations
Constant-Volatility Scaling
Momentum Crash
Nordic Momentum
Volatility
Anomaly
Stock Returns
Serie/rapportnr.
Master Degree Project
2021:151
Språk
eng
Metadata
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