<p>Abstract</p><p>Market efficiency is a highly debated topic within the academic research field of finance.</p><p>Several studies have presented that the return on stocks may be predictable by employing the</p><p>momentum investment strategy, which contradicts the Efficient Market Hypothesis in</p><p>exchange market. There is extensive international evidence, on an academic level that the</p><p>momentum investment strategy yields positive abnormal returns when short-term periods are</p><p>considered. This paper examines the profitability of the momentum investment strategy in</p><p>Canadian and Swedish stock markets during January 2000 to December 2006. To investigate</p><p>the strategy, two separate portfolios of winners and losers, each portfolio containing 50</p><p>stocks, are created for each market. Then the momentum strategy, which consists in long</p><p>position in past best performing stocks and short positions in past worst performing stocks, is</p><p>run for each exchange market. Results show that the strategy generates statistical significance</p><p>at the 5% level for Canadian market for 9-month holding period, and with the level of</p><p>significance at the 10% for Swedish market for the 6 and 9-month holding periods after</p><p>excluding the data for the year 2002. Moreover, results show that the strategy is even stronger</p><p>in the level of significance during the bull trend of the markets. The paper confirms the</p><p>existence of the momentum anomaly in TSX and SSE.</p>
| Identifer | oai:union.ndltd.org:UPSALLA/oai:DiVA.org:umu-1824 |
| Date | January 2008 |
| Creators | Ludvigsson, Anita |
| Publisher | Umeå University, Umeå School of Business, Umeå : Handelshögskolan vid Umeå universitet |
| Source Sets | DiVA Archive at Upsalla University |
| Language | English |
| Detected Language | English |
| Type | Student thesis, text |
Page generated in 0.0407 seconds