The academic literature on finance has since the mid 60’s been largely influenced by the Efficient Market Hypothesis (Fama, 1965, 1970). The Efficient Market Hypothesis has since then been a topic for debate and numerous studies has been conducted with the agenda of testing the Efficient Market Hypothesis and its robustness. The Efficient Market Hypothesis implies that stock prices follow a random walk, hence,predicting future stock returns based on previous stock prices should not earn any success in attempt to consistently beat the market. However,different momentum trading strategies has emerged in academic literature showing evidence of outperforming the financial markets. Using U.S. stock data from the American Stock Exchange, the New York Stock Exchange and Nasdaq over the period January 2001 to December 2019, this paper examines returns from trading stocks on momentum with the 52-week high strategy in attempt to test the Efficient Market Hypothesis. Empirical tests in this paper indicate that the strategy of buying U.S.common stocks in the top 52-week high price ratio significantly outperforms the market.
| Identifer | oai:union.ndltd.org:UPSALLA1/oai:DiVA.org:umu-160990 |
| Date | January 2019 |
| Creators | Svedberg, Stefan |
| Publisher | Umeå universitet, Nationalekonomi |
| 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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