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| Type | Bachelor's Thesis |
| Scope | Discipline-based scholarship |
| Title | Cross-Sectional Momentum in the Swiss Equity Market |
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| Institution | University of Zurich |
| Faculty | Faculty of Business, Economics and Informatics |
| Number of Pages | 48 |
| Date | 2023 |
| Abstract Text | This study implements momentum strategies on the Swiss Performance Index (SPI) and examines their profitability over an 18-year time horizon. The robustness of these strat-egies is analyzed by adjusting certain parameters including lags, transaction costs, size and weight of the winner portfolios and short selling. The results are consistent with the existing literature and confirm the validity of momentum strategies in the Swiss equity market. The results remain significant after risk adjustments, indicating that the momen-tum effect persists after controlling for risk. While the momentum phenomenon is par-tially explained, certain underlying factors remain unanswered, suggesting potential areas for future research. |
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