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| Type | Bachelor's Thesis |
| Scope | Discipline-based scholarship |
| Title | Determinants of Momentum in Swiss Stocks |
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| Institution | University of Zurich |
| Faculty | Faculty of Business, Economics and Informatics |
| Number of Pages | 49 |
| Date | 2023 |
| Abstract Text | Recent studies suggest that the profitability of momentum strategies has diminished over time. Lacking any dedicated momentum research for the Swiss stock market covering price data after 2008, this study now tests the performance of various momentum strategies up to 2022. Results indicate that momentum returns on the Swiss market are significantly driven by short positions on small-sized companies as well as by a high exposure to the High-Tech sector. However, profits of momentum strategies appear to have indeed significantly diminished since 2008. Results show the low interest rate environment to be a main driver of this trend. |
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