Momentum gap and predictability of momentum returns – Evidence from Finland

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bachelor_Vaalamo_Veikka_2024.pdf (665.8 KB)

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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

24

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Abstract

This study examines the predictability of momentum returns utilizing the momentum gap in the Finnish stock market from 2000 to 2024. Employing methodology from Huang (2021), and adjusting it to small market conditions, the thesis explores the association between the momentum gap’s size and momentum returns. It finds that while the momentum gap offers a novel perspective, it does not consistently predict momentum returns in Finland, contrary to results observed in the US market. The research underscores the need for further investigation into momentum strategies in smaller markets like Finland, where market dynamics can differ significantly from larger markets.

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Thesis advisor

Keloharju, Matti

Keywords

momentum gap, momentum strategy, efficient market hypothesis, Finland

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https://urn.fi/URN:NBN:fi:aalto-202405193421

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[kand] Kauppakorkeakoulu / BIZ (Open Access)