Momentumeffekten i Danmark: Empirisk analyse af momentumeffekten i aktiepriserne på OMX København
Oversat titel
The momentum effect in Denmark: An empirical analysis of the momentum effect in equity prices on OMX Copenhagen
Forfattere
Semester
4. semester
Uddannelse
Udgivelsesår
2019
Afleveret
2019-06-02
Abstract
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.
Emneord