Momentum and Information Diffusion: The Influence of Size and Analyst Coverage in the Nordic Stock Markets

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School of Business | Bachelor's thesis
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Date

2025

Department

Rahoituksen laitos

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Mcode

Degree programme

Rahoitus

Language

en

Pages

26+7

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Abstract

This study explores a behavioral momentum theory called the gradual-information-diffusion model of Hong and Stein (1999), which suggests that momentum results from the slow spread of new information among investors. Building on the methodology developed by Hong et al. (2000) in their U.S.-based study, a similar approach is applied to analyze momentum within the Nordic stock markets from January 2010 to December 2023. My findings indicate that consistent with Hong et al. (2000) using U.S. data from 1970s to 1990s, firm size significantly impacts momentum and with greater magnitude than in the U.S. study. However, the results regarding the impact of analyst coverage are mixed.

Tämä tutkimus tutkii tiedonkulun vaikutusta momentum-ilmiöön Pohjoismaisilla osakemarkkinoilla aikavälillä 1/2010–12/2023. Tutkimustulokseni osoittavat, että yrityksen koko vaikuttaa merkittävästi momentum-ilmiön voimakkuuteen. Aineiston keskisuurten yritysten joukossa momentum-tuotot ovat suurimmillaan, minkä jälkeen ilmiön voimakkuus pienenee merkittävästi. Analyytikkoseurannan vaikutusten osalta tulokset jäävät vaihteleviksi, eikä analyytikkoseurannan voida tulosten perusteella sanoa vaikuttavan momentum-ilmiön voimakkuuteen.

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Thesis advisor

Huber, Christoph

Keywords

information diffusion, analyst coverage, momentum, firm size

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https://urn.fi/URN:NBN:fi:aalto-202501261759

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