Sökning: "Return predictability"

Visar resultat 1 - 5 av 63 uppsatser innehållade orden Return predictability.

1. 1. Testing the Adaptive Market Hypothesis on the Swedish Stock Market - Empirical evidence between 1990-2019

   Kandidat-uppsats,

   Författare :Jacob Allestam; Filip Sjöberg; [2023-06-29]
   Nyckelord :Adaptive market hypothesis; market efficiency; market conditions; return predictability; trading strategy;

   Sammanfattning : This study examines if the adaptive market hypothesis holds for the Swedish stock market between 1990 and 2019. We use Affärsvärldens Generalindex and test for time-varying return predictability by implementing a variance ratio test and an autocorrelation test. To track how market efficiency evolves over time we use a two-year moving subsample. LÄS MER

3. 2. Predictability of Shareholder Return in Medical Device Companies : Investment Decisions from thePerspective of an Investment Firm

   Master-uppsats, KTH/Skolan för industriell teknik och management (ITM)

   Författare :Daniel Gröttheim; [2023]
   Nyckelord :Medical device companies; pre-market approval; total return; abnormal return; stock return prediction; market anomalies; free cash flow yield; efficient markets; financial crisis; investment firm; Medicintekniska företag; förmarknadsgodkännande; totalavkastning; abnorm avkastning; aktieavkastningsförutsägbarhet; marknadsavvikelser; avkastning på fritt kassaflöde; effektiva marknader; finanskris; investeringsföretag;

   Sammanfattning : The medical device industry has seen rapid growth in recent years, and the increasing valuations has caught the attention of investors. Although their growth has outpaced many indices, medical device companies’ reliance on capital to finance research, patents, and clinical testing to reach pre-market approval makes due-diligence and the investment research process especially complex. LÄS MER

4. 3. Navigating Uncertainty: A Study on the Impact of Policy Uncertainty on Stock Returns, Firm Investment, and Investor Sentiment in the United States

   C-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Författare :Axel Boström; Gustaf Lindström; [2023]
   Nyckelord :Economic policy uncertainty; US stock returns; Firm investments; Investor sentiment;

   Sammanfattning : We investigate how US policy uncertainty is related to US stock returns, firm investments, and investor sentiment - in order to shed light on the responses made by firms and investors when faced with higher uncertainty. Leveraging the economic policy uncertainty index, we find that policy uncertainty is negatively correlated with US stock returns in the same month following a shock to uncertainty, and propose evidence that points towards policy uncertainty potentially being a source of return predictability in the US. LÄS MER

5. 4. Can investor sentiment predict the European size premium? An empirical investigation of regional size premium predictability

   Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Julian Ziemer; Lappalainen Arttu; [2023]
   Nyckelord :Size Premium; Investor Sentiment; Return Predictability; Behavioral Finance; Business and Economics;

   Sammanfattning : Research on the determinants of the size premium, i.e. that small stocks on average outperform large stocks, has traditionally focused on financial and macroeconomic factors. However, recent academic studies shed light on the influence of behavioral factors on the size premium, specifically investor sentiment. LÄS MER

7. 5. Using sentiment analysis on Reddit to predict stock returns

   Kandidat-uppsats,

   Författare :Love Nilsson; Max Andersson Wikingsson; [2022-07-01]
   Nyckelord :;

   Sammanfattning : This thesis explores if sentiment analysis can be utilized to predict meme stock returns by analyzing social media activity on the Reddit forum WallStreetBets. We further look at how meme stocks differ from non-meme stocks in their return predictability on this forum. LÄS MER