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Unraveling the Mystery: The anatomy of two investing principals: A Quantitative Study on Value vs. Momentum based investing strategies on the Stockholm Stock Exchange from 2008 – 2018.
Högskolan i Jönköping, Internationella Handelshögskolan, IHH, Företagsekonomi.
Högskolan i Jönköping, Internationella Handelshögskolan, IHH, Företagsekonomi.
Högskolan i Jönköping, Internationella Handelshögskolan, IHH, Företagsekonomi.
2019 (Engelska)Självständigt arbete på grundnivå (kandidatexamen), 10 poäng / 15 hpStudentuppsats (Examensarbete)
Abstract [en]

This study compares two methods of investing, value and momentum on the Stockholm stock exchange from 2008 - 2018. The two strategies have previously been individually tested against the efficient market hypothesis over various time spans in different markets. The problem is that interpreting results from different time periods in different markets does not provided an accurate comparison of the two strategies. The main focal point of this study is to implement the two strategies in the same time period on the same market in order to distinguish what strategy is superior in terms of ROI along with the respective associated levels of risk. What is of interest is that these two strategies underlying assumptions contradict each other. The value-based approach suggests buying at a low market price and sell higher, when the stock reaches its “fair value”. On the other hand, the momentum strategy condones buying a stock after a significant volume of purchases, leading to a higher price in the future. Over the ten-year period both methods of investing surpassed the returns of the OMXS30. Additionally, the analysis has concluded that the momentum portfolio exceeded returns of both the overall market (OMXS30), and the portfolio associated with the value investing strategy. This sheds light on the preconceived mainstream notion of risk. That being, it is in fact possible to achieve alpha returns with relatively low levels of risk in terms of volatility.

Ort, förlag, år, upplaga, sidor
2019. , s. 62
Nyckelord [en]
Magic formula, Value investing, Momentum investing, Efficient market hypothesis, Stockholm Stock Exchange
Nationell ämneskategori
Företagsekonomi
Identifikatorer
URN: urn:nbn:se:hj:diva-44116ISRN: JU-IHH-FÖA-1-20190945OAI: oai:DiVA.org:hj-44116DiVA, id: diva2:1320831
Ämne / kurs
IHH, Företagsekonomi
Handledare
Examinatorer
Tillgänglig från: 2019-06-28 Skapad: 2019-06-05 Senast uppdaterad: 2019-06-28Bibliografiskt granskad

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