This thesis examines if price momentum and momentum in firm fundamentals measured by earnings and revenue momentum are related on the Swedish stock market. Price momentum is measured through the 11-month prior performance (11MPM), Earnings Momentum through Standardized Unexpected Earnings (SUE), and Revenue Momentum through Standardized Unexpected Revenue Growth (SURGE). Using firm-level data from 2007 until 2024, zero-investment momentum strategies are established and show significant returns not explained by any conventional asset pricing model. There is a strong dominance of the earnings momentum strategy, by wide margin outperforming both price and revenue momentum. The abnormal price momentum profits disappear when controlling for earnings momentum returns, whereas the returns to earnings momentum remain robust after controlling for the price momentum. These results support the claim that price momentum is a weak manifestation of fundamental momentum. The revenue momentum returns are not explained by earnings momentum, which indicates that these performance metrics contain exclusive information about the fundamental performance of a firm.
| Identifer | oai:union.ndltd.org:UPSALLA1/oai:DiVA.org:liu-205312 |
| Date | January 2024 |
| Creators | Almgren, Gustav |
| Publisher | Linköpings universitet, Nationalekonomi, Linköpings universitet, Filosofiska fakulteten |
| Source Sets | DiVA Archive at Upsalla University |
| Language | English |
| Detected Language | English |
| Type | Student thesis, info:eu-repo/semantics/bachelorThesis, text |
| Format | application/pdf |
| Rights | info:eu-repo/semantics/openAccess |
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