dc.contributor.author | Dagsland, Kamilla | |
dc.contributor.author | Strandkås, Katarina Amalie | |
dc.date.accessioned | 2023-10-16T09:29:41Z | |
dc.date.available | 2023-10-16T09:29:41Z | |
dc.date.issued | 2023 | |
dc.identifier.uri | https://hdl.handle.net/11250/3096676 | |
dc.description | Masteroppgave(MSc) in Master of Science in Business, Finance - Handelshøyskolen BI, 2023 | en_US |
dc.description.abstract | 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 | en_US |
dc.language.iso | eng | en_US |
dc.publisher | Handelshøyskolen BI | en_US |
dc.subject | finans | en_US |
dc.subject | finance | en_US |
dc.title | Momentum Crashes in the US Stock Market During Different Market States and the Impact on Industries | en_US |
dc.type | Master thesis | en_US |