This paper examines the efficiency of the Swedish stock market, specifically the Large cap list of the Stockholm stock exchange. This is achieved by implementing the relative strength method of investing during the decade of 2010-2020 and evaluate the results in contrast to the Efficient Market Hypothesis. The relative strength method applied in this paper is the similar strategy that Jagadeesh & Titman (1993) utilized. In short, the strategy is based on buying the historically best performing stocks whilst selling short the previous worst performers. Additionally, the risks associated with the method were examined with the risk measurements of the Jensen Alpha and the Modigliani risk-adjusted performance. The results indicate that the relative strength method is unable to consistently generate above-market returns, so that the study is unable to reject the Efficient Market Hypothesis. In addition, the relative strength method is unable to justify the risks associated.
| Identifer | oai:union.ndltd.org:UPSALLA1/oai:DiVA.org:mdh-54684 |
| Date | January 2021 |
| Creators | Varli, Rickard |
| Publisher | Mälardalens högskola, Akademin för ekonomi, samhälle och teknik |
| 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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