Lower volatility with idiosyncratic momentum: Evidence from Sweden

Thumbnail Image

Files

URL

Journal Title

Journal ISSN

Volume Title

School of Business | Bachelor's thesis
Electronic archive copy is available locally at the Harald Herlin Learning Centre. The staff of Aalto University has access to the electronic bachelor's theses by logging into Aaltodoc with their personal Aalto user ID. Read more about the availability of the bachelor's theses.
Unless otherwise stated, all rights belong to the author. You may download, display and print this publication for Your own personal use. Commercial use is prohibited.

Authors

Date

2023

Department

Rahoituksen laitos

Major/Subject

Mcode

Degree programme

Rahoitus

Language

en

Pages

23

Series

Abstract

This study examines the existence of idiosyncratic momentum anomaly in Sweden from 1.1.2000 to 1.1.2020. The idiosyncratic momentum zero-investment portfolio yielded greater risk-adjusted returns overall compared to momentum zero-investment portfolio. The idiosyncratic momentum also yielded statistically significant alpha for 1- and 12- month holding periods, while momentum yielded statistically significant alpha for 1- and 3- month holding periods. Idiosyncratic momentum also had statistically significant lower volatility compared to momentum. The idiosyncratic momentum also had lower crash risk during the study period. These findings suggest that the idiosyncratic momentum strategy yields similar returns as momentum, but with significantly lower volatility.

Description

Thesis advisor

Luotonen, Niilo

Keywords

volatility, idiosyncratic momentum, momentum, idiosyncratic volatility

Other note

Citation

Permanent link to this item

https://urn.fi/URN:NBN:fi:aalto-202401281955

Collections

[kand] Kauppakorkeakoulu / BIZ