The asset growth of firms and stock price momentum

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dc.contributor Aalto-yliopisto fi
dc.contributor Aalto University en Long, Emilia 2016-08-16T11:35:57Z 2016-08-16T11:35:57Z 2016
dc.description.abstract OBJECTIVES OF THE STUDY The purpose of this thesis is to see whether large asset growth expansions or contractions are related to momentum effect. In momentum strategy, past winner stocks are bought and past loser stocks are sold in order to profit from momentum anomaly. DATA AND METHODOLOGY Data is retrieved from the Thomson- Reuter Datastream/WorldScope database. The sample covers all firms that have existed during July 1985 and June 2015 from particular stock markets of Austria, Belgium, Finland, France, Germany, Italy, the Netherlands, Norway, Spain, Sweden, Switzerland and the United Kingdom as well as Canada and Japan. Two-tailed t-tests are conducted in Stata to measure the return differences of different stock portfolios formed from this data. In the first test, stock portfolios are sorted into three groups (low, middle, high) based on prior asset growth for countries in order to see if the returns are lower in high asset growth groups. In the second test, stock portfolios are sorted into three groups (low, middle, high) based on past 11-month returns for countries in order to see whether the past winners (high group) outperform the past losers (low group). In the third test, stocks are grouped into asset growth groups (low, middle, high) in order to see is there momentum effect present in the low and high asset growth groups. Finally, OLS regressions are conducted for each country with the aggregate momentum profits as the dependent variable and lagged aggregate asset growth rate as the explanatory variable. FINDINGS OF THE STUDY The results show that there is an asset growth effect present in most of the countries of the sample but the momentum effect was not significantly present. The key finding is that, there are significant momentum profits in the highest asset growth rate group and often in the low asset growth rate groups as well. This is in line with Nyberg and Pöyry (2014), who find that the momentum effect is strong when there are large asset expansions and contractions. Large balance sheet asset growth rate changes do seem to be related to the momentum effect. en
dc.format.extent 72
dc.format.mimetype application/pdf en
dc.language.iso en en
dc.title The asset growth of firms and stock price momentum en
dc.type G2 Pro gradu, diplomityö fi Kauppakorkeakoulu fi School of Business en
dc.contributor.department Rahoituksen laitos fi
dc.contributor.department Department of Finance en
dc.subject.keyword asset growth
dc.subject.keyword momentum strategy
dc.subject.keyword market anomaly
dc.identifier.urn URN:NBN:fi:aalto-201609083638
dc.type.dcmitype text en
dc.programme.major Rahoitus fi
dc.programme.major Finance en
dc.type.ontasot Pro gradu tutkielma fi
dc.type.ontasot Master's thesis en
dc.subject.helecon rahoitus
dc.subject.helecon financing
dc.subject.helecon yritykset
dc.subject.helecon companies
dc.subject.helecon varallisuus
dc.subject.helecon wealth
dc.subject.helecon muutos
dc.subject.helecon change
dc.subject.helecon strategia
dc.subject.helecon strategy
dc.subject.helecon osakemarkkinat
dc.subject.helecon stock markets
dc.ethesisid 14602 2016-06-16
dc.location P1 I

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