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dc.contributor.advisorCrack, Timothy Falcon
dc.contributor.advisorRoberts, Helen
dc.contributor.advisorLin, Hai
dc.contributor.authorBode, Daniel Joseph
dc.identifier.citationBode, D. J. (2013). Market State, Investor Sentiment and Momentum in New Zealand Equities (Thesis, Master of Business). University of Otago. Retrieved from
dc.description.abstractThe state of the market and investor sentiment are found to be crucial in determining the profitability of momentum strategies in New Zealand between 1987 and 2011. Momentum effects are lowest following neutral market and sentiment periods, and greatest following up market and optimistic sentiment periods. In my view, this is due to the cognitive biases of investors being accentuated by emotion during strong bull or bear periods. On the other hand, investors are less emotive during a stationary market phase. Domestic macroeconomic factors are unable to explain momentum returns. Results are robust to capital asset pricing model (CAPM) and Fama-French (1993) risk adjustments.
dc.publisherUniversity of Otago
dc.rightsAll items in OUR Archive are provided for private study and research purposes and are protected by copyright with all rights reserved unless otherwise indicated.
dc.subjectinvestor sentiment
dc.subjectNew Zealand
dc.subjectmarket state
dc.subjectmacroeconomic factors
dc.subjectcognitive bias
dc.titleMarket State, Investor Sentiment and Momentum in New Zealand Equities
dc.language.rfc3066en & Finance of Business of Otago
otago.openaccessAbstract Only
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