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Factor Investing In the Finnish Stock Market

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dc.contributor Aalto University en
dc.contributor Aalto-yliopisto fi
dc.contributor.advisor Stepanov, Roman
dc.contributor.author Spiess, Philipp
dc.date.accessioned 2019-10-13T16:03:52Z
dc.date.available 2019-10-13T16:03:52Z
dc.date.issued 2019
dc.identifier.uri https://aaltodoc.aalto.fi/handle/123456789/40659
dc.description.abstract Academic research claims that there are return premiums arising from the low-volatility, size, value, and momentum factors and argues in favor of including said factors in a factor investing portfolio. This claim was tested in the Finnish stock market, proxied by the OMXH25 index, for the years of 2014 until 2018. To do so, two antagonistic portfolios for each factor were formed, one with low and one with high factor exposure, and analyzed for significant return differences and possible alpha on the excess return on the OMXH25. The results of this thesis suggest that only the two antagonistic low-volatility factor portfolios generated significant return differences between each other. Contrary to previous factor investing research (but in line with the claims of the CAPM), the portfolio containing the high-volatility stocks yielded higher returns than the portfolio containing the low-volatility stocks. All other factor portfolios, including multi-factor portfolios aimed at all four factors, did not yield significant return differences, not supporting the existence of factor premiums. Additionally, the high-volatility portfolio’s returns did not generate any significant alpha on the excess return on the OMXH25. en
dc.format.extent 42
dc.format.mimetype application/pdf en
dc.language.iso en en
dc.title Factor Investing In the Finnish Stock Market en
dc.title Low-volatility, size, value, and momentum in the OMXH25 during 2014-2018. en
dc.type G1 Kandidaatintyö fi
dc.contributor.school Kauppakorkeakoulu fi
dc.contributor.school School of Business en
dc.contributor.department Mikkelin kampus fi
dc.subject.keyword factor investing en
dc.subject.keyword Finnish stock market en
dc.subject.keyword OMXH25 en
dc.subject.keyword low-volatility en
dc.subject.keyword value en
dc.subject.keyword size en
dc.subject.keyword momentum en
dc.identifier.urn URN:NBN:fi:aalto-201910135673
dc.type.ontasot Bachelor's thesis en
dc.type.ontasot Kandidaatintyö fi
dc.programme (Mikkeli) Bachelor’s Program in International Business en

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