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Momentum - Do Momentum Profits Contradict the Efficient Market Hypothesis?

  • This thesis assesses whether a momentum strategy, which buys past winner and sells past loser stocks, implemented in the German stock market yields positive returns. Additionally, it provides an evaluation of potential sources and implications to stock market efficiency. The findings indicate that momentum profits are on average positive and significant in a time period between 1999 and 2018 and that these profits, in general, seem to contradict the efficient market theory. Hence, after a review of behavioral finance models, these profits seem to be due to inefficient price reactions to new firm-specific news. Despite their strong positive average returns, momentum strategies yield significant negative returns which occur in times of market reversal after panic states and crashes.

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Metadaten
Author:Simon Häringer
Advisor:Uwe Hack
Document Type:Bachelor Thesis
Language:English
Year of Completion:2020
Granting Institution:Hochschule Furtwangen
Release Date:2020/03/04
Tag:Momentum strategies; Stock market
Degree Program:IBW - Internationale Betriebswirtschaft
Functional area:Finance & Accounting
Licence (German):License LogoEs gilt das UrhG