The profitability of value and momentum strategies on the Nordic stock market
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- Master Thesis 
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.