Comparative Study of Factor-Based Strategies in the Nordic Countries
Master thesis
Permanent lenke
https://hdl.handle.net/11250/2686618Utgivelsesdato
2020Metadata
Vis full innførselSamlinger
- Master of Science [1790]
Sammendrag
This thesis examines whether an investor could generate net returns
above the Morgan Stanley Country Index by applying momentum and
value strategies in the Nordic countries between 1990 and 2019. We first
investigate the strategies on individual stocks, then on a sector level, to
evaluate whether profits can be attributed to sector exposure. We find
the momentum anomaly to be present on an individual stock basis in
Norway and Sweden, whereas Denmark and Finland appear to be highly
sector dependent. Book-to-market does not generate any net returns
above the MSCI indices in any country, and cash flow-to-market works
well on an individual stock basis in Norway and Sweden and likewise
on sector level in Denmark. Value, in general, outperforms momentum
in bear markets, while momentum outperforms value in bull markets.
Moreover, the best risk-adjusted returns are achieved by diversifying
investments across all four countries.
Beskrivelse
Masteroppgave(MSc) in Master of Business - Handelshøyskolen BI, 2020/Master of Science in Business - QTEM Masters Network - Handelshøyskolen BI, 2019