Momentum i aktieafkast i Skandinavien 1990-2009

Jeppe Andersen

Student thesis: Master thesis


This thesis investigates the existence of medium term momentum effect in the Scandinavian stock market from 1990 to 2009. Momentum is return continuation which means the tendency for the best performing stocks to keep performing well in the following months and the poorly performing stocks to keep underperforming in the following months. This makes momentum in stock returns an anomaly in the stock market since this behavior makes it possible to beat the market by using fundamental analysis. The investigation in this thesis is inspired by Jegadeesh and Titman’s momentum-article from 1993 that documented momentum on the American stock market and the research method applied is the same as the one Jegadeesh & Titman used. Basically the method employs a momentum investment strategy that buys the “winners” (stock with the highest past returns) and sells the “losers” (stocks with the lowest past returns). This long-short position makes the strategy self-financing. When analyzing on the total Scandinavian stock market this thesis cannot document significant momentum returns. It is however possible to document significant momentum in Scandinavia if the most illiquid stocks is excluded from the analysis, which leads to the conclusion that momentum in stock returns actually exists on the Scandinavian stock market. The analysis also investigates the three Scandinavian stock markets individually and concludes that the size of momentum vary a lot from country to country. The strongest momentum effect is found in Denmark whereas the momentum effect in Norway is weaker. In Sweden it is not possible to document any existence of momentum. The results from the analysis in this thesis correspond with earlier investigations of the momentum effect in Scandinavia. In general systematic risk cannot explain the return on momentum investment strategies which, together with other market anomalies, have lead to the birth of behavioral finance theory that explains the momentum by over/under reaction to news caused by irrational investors. Limits to arbitrage make it possible for momentum to persist despite the knowledge of its existence. Imperfect markets and market regulations however make it unattractive to apply self-financing momentum strategies in reality, which result in the momentum effect being more interesting from a theoretical than a practical point of view. It is however possible to outperform the market by just buying past winners and holding them for 3-12 months.

EducationsMSc in Finance and Accounting, (Graduate Programme) Final Thesis
Publication date2011
Number of pages142