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Quantitative Momentum in the Nordic Markets

de Andrade, Felipe Pasquotto; Strand, Lars Iver
Master thesis
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2030734.pdf (6.720Mb)
preliminary thesis report - version 5.pdf (2.023Mb)
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http://hdl.handle.net/11250/2579283
Utgivelsesdato
2018
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Samlinger
  • Master of Science [1117]
Sammendrag
There is a considerable amount of research on momentum investing in the Nordic

markets based on the Generic Momentum Strategy (GMS) of Jegadeesh & Titman

(1993). In their Quantitative Momentum Strategy (QMS), Gray & Vogel (2016)

proposes a modified momentum strategy that focuses on the path-dependency of

momentum. This thesis aims to study if this variation of momentum investing not

only yields better returns than the market but also improves the returns obtained

with the conventional momentum approach. Our research finds that the QMS is an

improvement of the GMS regardless the combination of formation and holding

periods. Furthermore, the QMS(J12K3) is the only strategy consistently

outperforming the broad-based indices across the Norwegian, Swedish, Danish

and combined Nordic market. On a risk-adjusted basis, the QMS(J12K3) applied

to the combined Nordic market delivers a positive and significant annualized

alpha of 5.6% when regressed on the Carhart 4-factor model for the whole sample.

We conclude that the QMS(J12K3) in the Nordic market delivers higher net

returns than the MSCI Nordic Index, with lower volatility and lower maximum

drawdowns. Similar conclusions are valid when looking at the markets in

Norway, Sweden and Denmark. The results, however, are not conclusive for

Finland. Based on our findings, we believe investors may enjoy the profitability

and significant out-performance of the Quantitative Momentum Strategy in the

Nordic markets.
Beskrivelse
Masteroppgave(MSc) in Master of Science in Finance - Handelshøyskolen BI, 2018
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Handelshøyskolen BI

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