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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.
Jönköping University, Jönköping International Business School, JIBS, Business Administration.
Jönköping University, Jönköping International Business School, JIBS, Business Administration.
Jönköping University, Jönköping International Business School, JIBS, Business Administration.
2019 (English)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
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.

Place, publisher, year, edition, pages
2019. , p. 62
Keywords [en]
Magic formula, Value investing, Momentum investing, Efficient market hypothesis, Stockholm Stock Exchange
National Category
Business Administration
Identifiers
URN: urn:nbn:se:hj:diva-44116ISRN: JU-IHH-FÖA-1-20190945OAI: oai:DiVA.org:hj-44116DiVA, id: diva2:1320831
Subject / course
JIBS, Business Administration
Supervisors
Examiners
Available from: 2019-06-28 Created: 2019-06-05 Last updated: 2019-06-28Bibliographically approved

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CiteExportLink to record
Permanent link

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Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf