Reversal and momentum effects in the Finnish and Swedish stock markets

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

21 + 1

Series

Abstract

This paper examines the relationship between stocks’ returns and their recent performance in Finland and Sweden from 2000 to 2022. I rank stocks based on their performance in the past using different time periods and sort them into portfolios to see if stocks with the highest returns will outperform the stocks with the lowest returns or vice versa. I find that when stocks are sorted based on their return in previous month, past losers generate significant abnormal returns over past winners implying that the short-term reversal effect exists. I find that when portfolios have longer formation periods, strategies that buy past losers and sell past winners or buy past winners and sell past losers, do not generate significant abnormal returns. This suggest that the momentum effect and the long-term reversal effect are not apparent in the Finnish and Swedish stock markets.

Description

Thesis advisor

Lof, Matthijs

Keywords

momentum, reversal, contrarian, overreaction, underreaction, abnormal returns

Other note

Citation

Permanent link to this item

https://urn.fi/URN:NBN:fi:aalto-202401281881

Collections

[kand] Kauppakorkeakoulu / BIZ