• English
    • norsk
  • English 
    • English
    • norsk
  • Login
View Item 
  •   Home
  • Handelshøyskolen BI
  • Student papers
  • Master of Science
  • View Item
  •   Home
  • Handelshøyskolen BI
  • Student papers
  • Master of Science
  • View Item
JavaScript is disabled for your browser. Some features of this site may not work without it.

Momentum Crashes in The Nordic Stock Market

Norstad-Qukaj, Alexander Leonard; Lid, Helge Nøttestad
Master thesis
Thumbnail
View/Open
2040555.pdf (2.484Mb)
Preliminary_Report.pdf (1.158Mb)
Permanent link
http://hdl.handle.net/11250/2577755
Issue date
2018
Metadata
Show full item record
Collections
  • Master of Science [835]
Abstract
This thesis investigates momentum crashes in the Nordic stock market. We find that

an unconditional price momentum strategy yields positive significant returns in the

period 2003:01 to 2017:12 but experience severe drawdowns in the wake of the

2007 financial crisis. The crash is attributable to the short position in the portfolio

of past losers who outperform past winners significantly when the market

conditions ameliorate. We find that this can be explained by time variation in

exposure to systematic factors as the momentum returns exhibit significant optionlike

behaviour. In bear markets, a non-linear relationship between up- and downmarket

betas show that the momentum portfolios have significant negative

exposure when the market rebounds.
Description
Masteroppgave(MSc) in Master of Science in Business, Finance - Handelshøyskolen BI, 2018
Publisher
Handelshøyskolen BI

Contact Us

Privacy policy
Powered by DSpace software

Service from Unit
 

 

Browse this CollectionIssue DateAuthorsTitlesSubjectsDocument TypesJournalsBrowse ArchiveCommunities & CollectionsIssue DateAuthorsTitlesSubjectsDocument TypesJournals

My Account

Login

Statistics

View Usage Statistics

Contact Us

Privacy policy
Powered by DSpace software

Service from Unit