| dc.contributor.author | Heder, Bendik | |
| dc.contributor.author | Braathen, Martin | |
| dc.date.accessioned | 2022-12-23T13:09:22Z | |
| dc.date.available | 2022-12-23T13:09:22Z | |
| dc.date.issued | 2022 | |
| dc.identifier.uri | https://hdl.handle.net/11250/3039418 | |
| dc.description | Masteroppgave(MSc) in Master of Science in Finance - Handelshøyskolen BI, 2022 | en_US |
| dc.description.abstract | We document significant ”cross-sectional momentum” profitability in the Norwegian stock market
from Q1 1995 to Q2 2022. The past winners portfolio is identified as the main driver of the
cross-sectional momentum returns over the full sample. On the other hand, the past loser portfolio
provides a negative return contribution on average on the corresponding sample. Further,
we investigate the performance of cross-sectional momentum strategies during three volatile
market events. We find that the majority of the strategy returns generated through each of
the tested sub-samples is attributable to the past winners portfolio. However, the past losers
portfolio consistently yields a strong hedge against the most abrupt market declines. On the
flip side, the past loser portfolio accounts for the majority of losses in the wake of each crisis
due to its excessive loadings on the market compared to the past winners portfolio. The relapse
of the strategy returns is however not considerable enough to be categorised as a ”momentum
crash”. | en_US |
| dc.language.iso | eng | en_US |
| dc.publisher | Handelshøyskolen BI | en_US |
| dc.subject | finans finance finacial economics | en_US |
| dc.title | Cross-sectional Momentum in the Norwegian Stock Market | en_US |
| dc.type | Master thesis | en_US |
