Empircal analysis of Value and Momentum strategies Evidence from the Norwegian equity market

Abstract

This thesis aims to examine whether investment strategies based on value and momentum in isolation and in combination are profitable in the Norwegian equity market between 1992 and 2022. Our research follows the methodology outlined in Asness Moskovitz and Pedersen (2013) and Jagadeesh and Titman (1993). We find evidence of a momentum premium but no value premium in our sample. Furthermore, we find statistically significant alpha in (75/25) portfolio, and not in the (50/50) combination of momentum and value, in that order.