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Momentum Investment Strategy: (An Empirical Study of the Canadian Stock Market and the Swedish Stock Market)
Umeå University, Faculty of Social Sciences, Umeå School of Business.
2008 (English)Independent thesis Advanced level (degree of Master (One Year)), 15 credits / 22,5 HE creditsStudent thesis
Abstract [en]


Market efficiency is a highly debated topic within the academic research field of finance.

Several studies have presented that the return on stocks may be predictable by employing the

momentum investment strategy, which contradicts the Efficient Market Hypothesis in

exchange market. There is extensive international evidence, on an academic level that the

momentum investment strategy yields positive abnormal returns when short-term periods are

considered. This paper examines the profitability of the momentum investment strategy in

Canadian and Swedish stock markets during January 2000 to December 2006. To investigate

the strategy, two separate portfolios of winners and losers, each portfolio containing 50

stocks, are created for each market. Then the momentum strategy, which consists in long

position in past best performing stocks and short positions in past worst performing stocks, is

run for each exchange market. Results show that the strategy generates statistical significance

at the 5% level for Canadian market for 9-month holding period, and with the level of

significance at the 10% for Swedish market for the 6 and 9-month holding periods after

excluding the data for the year 2002. Moreover, results show that the strategy is even stronger

in the level of significance during the bull trend of the markets. The paper confirms the

existence of the momentum anomaly in TSX and SSE.

Place, publisher, year, edition, pages
Umeå: Handelshögskolan vid Umeå universitet , 2008. , 54 p.
Keyword [en]
Momentum strategy, Canadian stock market, Swedish stock market
National Category
Business Administration
URN: urn:nbn:se:umu:diva-1824OAI: diva2:142131
Available from: 2008-09-15 Created: 2008-09-15Bibliographically approved

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