Sökning: "book-to-market value"

Visar resultat 26 - 30 av 37 uppsatser innehållade orden book-to-market value.

1. 26. Which Factors Explain Stock Returns on the Shanghai Stock Exchange Market? : A Panel Data Analysis of a Young Stock Market

   Master-uppsats, KTH/Industriell ekonomi och organisation (Avd.)

   Författare :Lijin Pan; [2012]
   Nyckelord :Panel data analysis; CAPM; Shanghai Stock Exchange market; stock return; systematic risk; book-to-market value; number of trades;

   Sammanfattning : This paper studies factors that influence the stock return on the Shanghai Stock Exchange (SSE) market. To achieve this goal, a stock-fixed effects model is estimated using a panel data sample comprising 100 companies listed on the SSE market during the 72-month period from January 2002 to December 2007. LÄS MER

3. 27. Value Investment Strategy : Robustness test and application of Piotroski’s model in 4 different markets

   Magister-uppsats, Handelshögskolan vid Umeå universitet (USBE)

   Författare :Patrick Jiang; Robin Moén; [2012]
   Nyckelord :Piotroski; Value Investment; Efficient market Hypothesis;

   Sammanfattning : Background A common goal for many investors is to beat the market. However, only a few are able to do so consistently over a long time. The random walk theory and the efficient market hypothesis are two widely accepted theories that state that it should not be possible to consistently generate abnormal returns in an efficient market. LÄS MER

4. 28. A Value Relevant Fundamental Investment Strategy : The use of weighted fundamental signals to improve predictability

   Kandidat-uppsats, Företagsekonomiska institutionen

   Författare :Martin Eliasson; Khawar Malik; Benjamin Österlund; [2011]
   Nyckelord :Fundamental analysis; Financial statement analysis; Financial analysis; High book-to-market; quantitative analysis; statistical regression study; investment strategy; longitudinal study; NYSE; New York Stock Exchange; Nasdaq; Piotroski; Rados and Lovric; wieghted and modified Piotroski F_score; F_score; B M investment strategy; fundamental signals correlation; return correlation; rolling window investment strategy; Correlations during macroeconomic up and down periods; historical performance of fundamental signals; Piotroski s F_score; fundamental signals; Fundamental analys; en hög book-to-market investeringsstrategi; finansiell analys; Piotroski; Piotroskis F_score; Rados och Lovric; modifierat F_score; undervärderade företag; Användningen av viktade fundamentala signaler för att förbättra förutsägbarheten; fundamentala signaler;

   Sammanfattning : The aim of this study is to investigate the possibility to improve the investment model defined in Piotroski (2000) and the subsequent research carried out on this model. Our model builds further upon the original fundamental score put forth by Piotroski. LÄS MER

5. 29. Default Risk in Equity Returns

   Master-uppsats, Lunds universitet/Företagsekonomiska institutionen

   Författare :Aracelly Del Carmen Holst; Olena Martynenko; [2010]
   Nyckelord :FACTOR RISK PREMIUM; FACTOR MIMICKING PORTFOLIO; ASSET PRICING; DEFAULT RISK; Management of enterprises; Företagsledning; management; Business and Economics;

   Sammanfattning : Purpose: The current thesis assignment aims to quantitatively verify systematic character of default risk and the statistical quality of the competing three- and four-factor asset pricing models. Method: The experimental design applied to this study is premised on the three-factor model of Fama and French enhanced by default risk factor. LÄS MER

7. 30. Economic Value Added® applied on the American Stock Market : Can the EVA® fundamental analysis increase the returns to a hedge-portfolio strategy with stocks sorted after book-to-market valuation and size?

   Kandidat-uppsats, Företagsekonomiska institutionen

   Författare :Rickard Bergman; Philip Gunnarsson; [2010]
   Nyckelord :Economic Value Added; EVA; fundamental analysis; hedge-portfolio; abnormal return; book-to-market;

   Sammanfattning : In this paper, the popular fundamental analysis model Economic Value Added is tested for any ability to generate returns above that explained by book-to-market effects on American large cap stocks. A zero net-investment hedge portfolio-test was undertaken where the Economic Value Added® fundamental analysis was applied on a sample of large cap stocks, sorted into quintiles after book to market valuation. LÄS MER