| dc.description.abstract | This paper studies investor sentiment as a predictive factor of momentum
profits and evaluates momentum trading profitability for
investors. We identify momentum profits on the Norwegian stock
market by recreating the momentum strategy presented by Jegadeesh
and Titman (1993). Next, we propose a sentiment-based
momentum strategy that relies on the ability of investor sentiment
to predict future momentum profits. Our findings show that the
sentiment-based strategy outperforms the conventional momentum
strategy across several different strategy variations. However, we
observe the significance of the strategies’ risk-adjusted returns to
drastically depend on the estimation of transaction costs. Lastly,
we identify a clear pattern in the ability of investor sentiment to
predict momentum profits across different time horizons.
Keywords. momentum, sentiment, portfolio performance, transaction
costs | en_US |
