This study examines how the two different investment strategies, growth and momentum performed compared to the index Stockholm financial SX30PI in the period 2006-2021. The question is if the two investment strategies have a statistically significant higher risk-adjusted return than the benchmark index. The portfolios have consisted of companies from the financial sector in Sweden. Therefore, the SX30PI index is used to compare the returns. The SX30PI is the 30 most frequently traded stocks at the Stockholm stock exchange who has its main operations in the financial sector.The efficient market hypothesis argues that none of the two strategies could be used to beat the index since they use previous stock prices and already publicly available information. The result showed that both momentum and growth yielded a higher return than the SX30PI. The study includes transaction costs which other studies often skip. By including this we believe that the result could be more applicable in the financial market and contribute to further studies with transaction costs. However, we find no statistical significance to disprove the efficient market theory.
| Identifer | oai:union.ndltd.org:UPSALLA1/oai:DiVA.org:lnu-116033 |
| Date | January 2022 |
| Creators | Cronqvist, Mathilde, Stewenson, Eric |
| Publisher | Linnéuniversitetet, Institutionen för ekonomistyrning och logistik (ELO) |
| Source Sets | DiVA Archive at Upsalla University |
| Language | Swedish |
| 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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