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
Major/Subject
Mcode
Degree programme
Rahoitus
Language
en
Pages
29
Series
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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