Observations of Industry Momentum Effect in European Equity Indices

This thesis examines the existence and nature of momentum effect in European equity indices. A set of predefined indicators is used to compose momentum portfolios and different holding periods are used to test the strategies over variable time periods as well as under different economical conditions. The data consists of daily closing prices of STOXX Europe 600 index and its 18 super sector indices. Over the study period we follow the performances of a long position in the Winner portfolio, a position in the market neutral zero-cost portfolio and also a position in the risk-controlled zero-cost portfolio. The investment ratio of the risk-controlled zero-cost portfolio is negatively correlated with the realized market volatility. The results show that momentum effect is present in European industries and is most prominent in the short-term. Indicators that are based on short-term performance tend predict the over- and underperformers for the 1-month holding period more reliably than any other indicator/holding period combination. The examination of the strategies under different economical conditions shows that the market neutral approach can create significant returns in times of recession but in times of economic boom the long position in Winner portfolio outperforms the market neutral portfolio by an extensive margin.

Ravintola Florida : Restaurant Florida : [Ruokalista]

Ruokalista

Ravintola Florida : Restaurant Florida : [Ruokalista]

Ruokalista

Restaurant Kapellet, Helsingfors : A la carte.

Ruokalista

Esplanaadi ravintola = Esplanad restaurant : [Ruokalista]

Ruokalista. Suomen- ja ruotsinkielinen

Cafe- & Restaurant Cosmopolite : Repertoire

Orkesterin ohjelmisto. Kertosäkeistöjen sanoja yleisön laulettavaksi.

Skandinavisk fest 13.11.1937. Restaurant Royal

Osallistujaluettelo ja pöytäkartta