• Kasper Ryø Fyhn
  • Rasmus Petersen Hald
4. term, Science in Economics, Master (Master Programme)
This paper documents momentum
effects in the Danish equity market,
OMX Copenhagen, from 2007
to 2018. A momentum strategy that
exploit buying equities that have
performed well and sell equities
that have performed poorly in the
past generate a significant positive
return over a 3-12 month holding
period. In practice, it is not
profitable to apply a dynamic momentum
strategy in Denmark compared
to just buy well performing
equities. It is hard to exploit the
momentum in Danish equity prices
but a Danish investment fund has
shown it is possible.
Publication date3 Jun 2019
ID: 304951916