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Time-series and cross-sectional price momentum : an empirical study at the Oslo stock exchange

Nygaard, Vidar Kogstad
Master thesis
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http://hdl.handle.net/11250/2404789
Issue date
2016
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  • Master Thesis [2971]
Abstract
This thesis investigates the effects of a simple time-series momentum overlay either as a stand-alone approach or in combination with cross-sectional price momentum strategies from the period 1985 to 2015 at the Oslo Stock Exchange. I first construct and evaluate a set of sector, market indices and long-only cross-sectional stock/sector momentum portfolios. I find robust and persistent cross-sectional momentum effect both in individual stocks and sectors at the Oslo Stock Exchange. Then I explore the effects of time-series momentum applied to each constructed portfolio. I document that the application of time-series momentum to an existing sector or market portfolio can deliver a substantial improvement in profitability with a significant decrease in volatility and drawdowns. The combination of cross-sectional and time-series momentum is shown to improve results relative to either strategy alone. Together the findings suggest practically feasible trading strategies with significant potential for abnormal returns.

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