Return Continuation at Stockholm Stock Exchange

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Return Continuation at Stockholm Stock Exchange

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Title: Return Continuation at Stockholm Stock Exchange
Author: Nordell, Gustav
Abstract: This thesis show that stocks listed at Stockholm Stock Exchange display short- to medium-term return continuation. Over the 1993 to 2014 period past winners outperform past losers. Hence, trading strategies which short-sell past losers and use the proceeds to finance the purchase of past winners generate positive returns. Results are robust also after adjusting for commonly used risk factors. Results also indicate that a retail investor could earn abnormal returns by trading accordingly to momentum trading rules. These results should although be interpreted with some caution, mainly due to limitations in the estimation of transaction costs
URI: http://hdl.handle.net/10417/6178
Date: 2017-01-13
Pages: 44 s.
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