Sökning: "Fama-MacBeth Cross-Sectional Regression"

Visar resultat 1 - 5 av 10 uppsatser innehållade orden Fama-MacBeth Cross-Sectional Regression.

1. 1. Impact of Inflation on Return and Pricing of Swedish Bank Stocks : A Fama-French Analysis on Monthly Stock Returns and Pricing of Handelsbanken, Swedbank, SEB and Nordea

   Kandidat-uppsats, Uppsala universitet/Nationalekonomiska institutionen

   Författare :Carl Westerberg; Elvin Rolder; [2023]
   Nyckelord :Asset Pricing Theory; CAPM; Carhart; Fama-French; Fama-Macbeth; Inflation; NII;

   Sammanfattning : This study explores the influence of inflation on the monthly total stock returns and stock pricing of Swedish banks. The research question is systematically examined througha cross sectional and time series analysis, utilizing Fama-French, Carhart, and Fama-Macbeth metodologies. LÄS MER

3. 2. Does Quality Matter?

   Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Lovisa Jalrup; Sawan Patel; [2020]
   Nyckelord :Investment strategy; Small-Minus-Big SMB ; size effect; firm quality; Fama-MacBeth two-step regressions.; Business and Economics;

   Sammanfattning : The purpose of this study is to investigate if there is any size effect in the Swedish stock market between April 2010 and December 2019, and if controlling for firms' quality improves the performance of a size-based investment strategy. The risk premium of firms with smaller market value of equity has since its discovery been under heavy scrutiny. LÄS MER

4. 3. Price is What You Pay, Value is What You Get - Dissecting the Quality Anomaly in US Equity Returns

   Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Filip Düsing; Erik Ivarsson; [2017]
   Nyckelord :Factor Investing; Quality Factor; Quality Screen; Cross Sectional Regression; Conditional Beta Analysis; Selection Bias; Business and Economics;

   Sammanfattning : The purpose of the thesis relates to the Quality anomaly observed in the US equity market, where stocks with Quality characteristics tend to outperform and have higher risk adjusted returns. By dissecting the Quality anomaly, the thesis aims to analyze the drivers of the over performance of Quality and investigate the presence of a systematic Quality premium. LÄS MER

5. 4. Firm-Specific Variables and Expected Stock Returns - A study on the German Market -

   Magister-uppsats, Lunds universitet/Företagsekonomiska institutionen

   Författare :Dylan Remmits; Viktoria Knittel; [2015]
   Nyckelord :Expected Stock Returns; Fama-MacBeth Cross-Sectional Regression; Risk Premia; German Market; Value Investing; Factor Investing; Portfolio Approach; Conditional Beta; Firm-Specific Variables; Business and Economics;

   Sammanfattning : Purpose: The purpose of this thesis is to investigate which firm-specific variables can explain the cross-section of expected stock returns in the German market. The tested explanatory variables are market beta, firm size, the book-to-market ratio, the earnings-to-price ratio, leverage, the dividend yield, the cash flow-to-price ratio and sales growth. LÄS MER

7. 5. Are Pre-Scheduled Macroeconomic News Days Different From Other Days? – A Cross-Sectional Analysis of the Swedish Stock Market

   Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Andreas Wendeberg; Sebastian Kejlberg; [2014]
   Nyckelord :the Fama-Macbeth regression; announcement days; CAPM; macroeconomic news; Swedish stock market; Business and Economics;

   Sammanfattning : This thesis has examined if there is any difference in the relationship between different risk factors and the cross-section of assets excess returns on the Swedish stock market between days when macroeconomic news is scheduled to be announced (announcement days) and other days (normal days). The Fama and Macbeth two-pass regression method have been used for investigating the hypothesis that announcement days are different from normal days. LÄS MER