Momentum gap and predictability of momentum returns – Evidence from Finland
Loading...
Journal Title
Journal ISSN
Volume Title
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.
Author
Date
2024
Department
Major/Subject
Mcode
Degree programme
Rahoitus
Language
en
Pages
24
Series
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.Description
Thesis advisor
Keloharju, MattiKeywords
momentum gap, momentum strategy, efficient market hypothesis, Finland
