The profitability of value and momentum strategies on the Nordic stock market

Botnen, Marthe; Dyran, Vegard Hansteen
Master thesis
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http://hdl.handle.net/11250/2487879
Date
2017
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Abstract
In this paper, we examine the profitability of value and momentum strategies on the Nordic

stock market for the period January 1989 to June 2016. We find evidence of both a value and

momentum premium, reflected by positive average returns of 0,66 and 0,71 percent for the

two strategies respectively. After correcting for different risk factors, we find positive alphas

for both value and momentum. The existence of positive alphas indicate that the premiums

cannot be explained entirely as a risk premium. However, we find a statistically significant

alpha for momentum only.

In addition, we examine different combinations of value and momentum to find a combination

of the two strategies more successful than each one in isolation. We find no unambiguous

evidence that a combination is superior to both strategies in isolation. Lastly, we find evidence

suggesting that a weighted combination of value and momentum serves as a good hedge

against momentum crashes.