Momentum Crashes in the US Stock Market During Different Market States and the Impact on Industries
Master thesis
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https://hdl.handle.net/11250/3096676Utgivelsesdato
2023Metadata
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- Master of Science [1618]
Sammendrag
This paper documents investment strategies that buy the best-performing stocks and sell the worst-performing stocks based on past returns. The momentum anomaly has proved to be a profitable and widely used strategy among investors. Research has found that momentum investment also experiences substantial losses, called momentum crashes. This thesis investigates the behavior of cross-sectional and industry momentum during and succeeding recessions. Exploring data in the US Stock market during 1965-2022, we find that individual stock momentum, especially within industries, tends to result in more excessive returns, and therefore experience more extreme crashes compared to industry momentum. Covid-19 shows indications of the same pattern of a momentum crash during the market rebound, as with earlier studies of crises and the Dot-Com Bubble. We observe no distinct patterns between the
Beskrivelse
Masteroppgave(MSc) in Master of Science in Business, Finance - Handelshøyskolen BI, 2023