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dc.contributor.authorJohannessen, Jacob-Sterling Deehr
dc.contributor.authorOsen, Lars Fredrik Melvold
dc.date.accessioned2023-11-17T10:10:40Z
dc.date.available2023-11-17T10:10:40Z
dc.date.issued2023
dc.identifier.urihttps://hdl.handle.net/11250/3103161
dc.descriptionMasteroppgave(MSc) in Master of Science in Business, Finance - Handelshøyskolen BI, 2023en_US
dc.description.abstractThis master's thesis examines cross-sectional momentum strategies in the context of changes in macroeconomic variables preceding and following the 2008 financial crisis. Testing the hypothesis that there may be an altered causal relationship between the variables M2 money supply, risk-free rate, CPI, gold, and WTI on cross-sectional momentum strategies after 2008. We find evidence that the cross-sectional momentum strategy generated abnormal returns prior to 2008 but lost its efficacy after 2008. We provide significant empirical evidence documenting a shift in the influence of the economic variables on the momentum returns using simple OLS regressions and a multivariate VAR model.en_US
dc.language.isoengen_US
dc.publisherHandelshøyskolen BIen_US
dc.subjectfinansen_US
dc.subjectfinanceen_US
dc.titleA Study on the Causal Relationships between Cross-Sectional Momentum Strategies and Macroeconomic Variables Pre- and Post-2008 Financial Crisis.en_US
dc.typeMaster thesisen_US


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