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

• 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

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.