Continuous information and the FIP hypothesis: Empirical evidence from the Finnish stock market
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Journal Title
Journal ISSN
Volume Title
School of Business |
Bachelor's thesis
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Author
Date
2019
Department
Major/Subject
Mcode
Degree programme
Rahoitus
Language
en
Pages
19
Series
Abstract
This 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.Description
Thesis advisor
Spickers, TheresaKeywords
FIP, hypothesis, continuous, discrete, momentum
