Mechanical investing, man’s best friend or Foolish? : -A study on mechanical investment strategies on the Swedish stock market

Mechanical investing, man’s best friend or Foolish? : -A study on mechanical investment strategies on the Swedish stock market

The aim of this study is to examine classical Dow-strategies, Dogs of the Dow and Foolish Four relative to each other and OMXS30GI in order to test if promises of substantial returns would be kept on the Swedish stock market during the period 2002-2019. Our empirical findings show no statistically s...

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Bibliographic Details
Main Authors: Lundberg, Max, Åkerlund, Jakob
Format: Others
Language:English
Published: Linnéuniversitetet, Institutionen för ekonomistyrning och logistik (ELO) 2021
Subjects:
Mechanical investing
EMH
Modern portfolio theory
Dogs of the Dow
the Foolish Four
Mean reversion
OMXS30
Contrarianism
The penultimate profit prospect
Stock market.
Business Administration
Företagsekonomi
Online Access:http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-104382
Description
Summary:The aim of this study is to examine classical Dow-strategies, Dogs of the Dow and Foolish Four relative to each other and OMXS30GI in order to test if promises of substantial returns would be kept on the Swedish stock market during the period 2002-2019. Our empirical findings show no statistically significant excess-return generated by the Foolish Four-strategy over neither the Dogs of the Dow-strategy nor OMXS30GI. Furthermore, we found that the Dogs of the Dow-strategy produced a statistically significant excess-return over benchmark OMXS30GI, however excess-return does not remain after excluding years of great market turmoil.

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