Continuous information and the FIP hypothesis: Empirical evidence from the Finnish stock market
School of Business | Bachelor's thesis
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.
AbstractThis paper tests the FIP hypothesis in the Finnish stock market. The hypothesis predicts that there is a relationship between continuous information and momentum. The results of this paper suggest that there is a statistically significant difference between the returns of portfolios that con-tain continuous information and portfolios that contain discrete information. The paper shows that the returns of momentum portfolio gradually decrease when moving towards more discrete information. These findings support the FIP hypothesis, and signal that investors underreact to continuous information or have a delay in processing that.
Thesis advisorSpickers, Theresa
FIP, hypothesis, continuous, discrete, momentum