Does Company Size Affect the Profitability of the Momentum Strategy in Finland?

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School of Business | Bachelor's thesis
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Date

2024

Department

Rahoituksen laitos

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Mcode

Degree programme

Rahoitus

Language

en

Pages

29

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Abstract

Studies have shown that certain momentum investment strategies can generate abnormal returns compared to their estimated returns. These strategies involve investing in past winners and selling short past losers. This study examines whether investing in a momentum portfolio within small-cap companies in Finland yields higher profits than investing in a momentum portfolio within large-cap companies. The results indicate that the profitability of the momentum investment strategy in Finland is higher within smaller companies than within larger companies. Covering the years from January 2013 to December 2022, the small-cap momentum portfolio yields a significant alpha of 0.0181 with a robust t-statistic of 6.53 when regressed on the Fama-French Three-Factor Model.

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Thesis advisor

Kokkonen, Joni

Keywords

investments, momentum, stock market, returns

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https://urn.fi/URN:NBN:fi:aalto-202405193478

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[kand] Kauppakorkeakoulu / BIZ