| dc.description.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. | nb_NO |
