Learning Centre

The 52-Week High Momentum in the Finnish Stock Market

 |  Login

Show simple item record

dc.contributor Aalto University en
dc.contributor Aalto-yliopisto fi
dc.contributor.advisor Joenväärä, Juha
dc.contributor.author Rissanen, Olli
dc.date.accessioned 2019-12-29T17:03:08Z
dc.date.available 2019-12-29T17:03:08Z
dc.date.issued 2019
dc.identifier.uri https://aaltodoc.aalto.fi/handle/123456789/41821
dc.description.abstract Previous research has shown that in many international stock markets, a readily available piece of information - the 52-week high price - when divided by the stock’s current price, explains a major portion of momentum investing profits. However, no thorough research has been made on the subject in the Finnish stock market. I use monthly data from 01/1998 to 09/2019 to examine how the 52-week high momentum investment strategy compares to individual stock and industry momentum strategies in the market, and whether the returns from the strategy experience short- or long-term reversals. My results show that the 52-week high momentum strategy produces significant positive returns in the Finnish stock market when a holding period of 6 months is used, and that those returns are even higher when the returns in Januaries are excluded. However, despite its high profitability, the strategy is still outperformed by the individual stock momentum when returns in all calendar months are taken into account. The evidence also suggests that the 52-week high does not have more predictive power over future stock returns than the past individual stock returns when Januaries are included, although it clearly has more than the past industry returns. There is no clear evidence of short-term reversals for the 52-week high momentum strategy, but the overall returns produced by the strategy reverse in the long run when returns in all calendar months are taken into account. However, when Januaries are excluded, the 52-week high returns persist in the long run, which presents a challenge to current theories that predict long-term reversals for stock returns and suggest that momentum and long-term reversals are associated with the same phenomenon. en
dc.format.extent 27
dc.format.mimetype application/pdf en
dc.language.iso en en
dc.title The 52-Week High Momentum in the Finnish Stock Market en
dc.type G1 Kandidaatintyö fi
dc.contributor.school Kauppakorkeakoulu fi
dc.contributor.school School of Business en
dc.contributor.department Rahoituksen laitos fi
dc.subject.keyword 52-week high en
dc.subject.keyword momentum en
dc.subject.keyword long-term reversals en
dc.subject.keyword short-term reversals en
dc.identifier.urn URN:NBN:fi:aalto-201912296767
dc.type.ontasot Bachelor's thesis en
dc.type.ontasot Kandidaatintyö fi
dc.programme Rahoitus en

Files in this item

This item appears in the following Collection(s)

Show simple item record

Search archive

Advanced Search

article-iconSubmit a publication