Sökning: "book-to-market value"

Visar resultat 31 - 35 av 37 uppsatser innehållade orden book-to-market value.

1. 31. Cross-Section of Stock Returns: : Conditional vs. Unconditional and Single Factor vs. Multifactor Models

   Master-uppsats, Handelshögskolan vid Umeå universitet

   Författare :Rustam Vosilov; Nicklas Bergström; [2010]
   Nyckelord :Cross-section of stock returns; asset-pricing model empirical tests; CAPM; Fama-French; conditional asset-pricing models; time-varying beta; time-varying risk; conditional beta; cross-sectional regression; time series regression; financial market anomalies; value premium; size premium; momentum effect;

   Sammanfattning : The cross-sectional variation of stock returns used to be described by the Capital Asset Pricing Model until the early 90‟s. Anomalies, such as, book-to-market effect and small firm effect undermined CAPM‟s ability to explain stock returns and Fama & French (1992) have shown that simple firm attributes, like, firm size and book-to-market value can explain the returns far better than Beta. LÄS MER

3. 32. How to generate abnormal returns: An examination of how two famous trading strategies worked during the last two decades

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

   Författare :Henrik Melander; Lars Staffansson; [2010]
   Nyckelord :Trading strategies; Fama-French three factor model; Value effect; Size effect.;

   Sammanfattning : We examine whether stocks with small market capitalization have outperformed stocks with large market capitalization and if stocks with high book-to-market equity ratio have outperformed stocks with low book-to-market equity ratio. During the years 1991-1999 stocks with high BE/ME-ratio and small firms performed in line with stocks with low BE/ME-ratio and big firms. LÄS MER

4. 33. I Piotroskis Fotspår : Förslag på förbättringar av Piotroskis hög book-to-market investeringsstrategier

   Kandidat-uppsats, Företagsekonomiska institutionen

   Författare :Toni Lovric; Daniel Rados; [2010]
   Nyckelord :Market based accounting research; accounting; investment; value investing; book-to-market; Piotroski; F_SCORE; investering; investeringsstrategier;

   Sammanfattning : .... LÄS MER

5. 34. The Value Premium - Is the Failure To Explain it as a Compensation for Risk a Consequense of Mis-specified Models?

   Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Henrik Byfors; Carl Lantz; [2007]
   Nyckelord :risk; Value Premium; Conditional CAPM; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

   Sammanfattning : Many studies have tried to explain the stock market value premium identified by Fama and French and Rosenberg, Reid and Lanstein. To the proponents of conventional asset pricing theory the value premium, measured by HmL (high book-to-market minus low book-to-market), is a bit of a dilemma. LÄS MER

7. 35. Svenska hedgefonders investeringsstrategier och deras riskexponering

   Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Julija Moroza; [2006]
   Nyckelord :Hedge funds; investment strategies; risk exposure; conditioning approach; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

   Sammanfattning : In this paper Swedish hedge funds and strategies are discussed and analysed. These new financial forms seem to draw recently a huge attention both in media, press and the academic world. The fact is that hedge funds have existed already for a long time but it is still known too little about them. LÄS MER