Sökning: "low beta anomaly"

Visar resultat 1 - 5 av 9 uppsatser innehållade orden low beta anomaly.

  1. 1. The Beta Anomaly in Recessions: Revisiting Beta's role in the Beta Anomaly

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

    Författare :Martin Lokander; Petra Lundström; [2020]
    Nyckelord :Beta Anomaly; Recessions; Beta; Idiosyncratic Volatility; Leverage Constraints;

    Sammanfattning : In this thesis, we extend upon existing research on the beta anomaly by investigating beta's role in the anomaly. This is done by studying the anomaly during recessions, where beta-driving variables such as leverage constraints likely are affected. LÄS MER

  3. 2. Lågriskanomalin på den svenska aktiemarknaden : En studie om skevhetsrisk och dess betydelse för överpresterande lågbetaaktier

    Magister-uppsats, Linköpings universitet/Företagsekonomi; Linköpings universitet/Filosofiska fakulteten

    Författare :Patrik Löfgren; Andreas Rydberg; [2019]
    Nyckelord :Low risk anomoly; Skewness; Coskewness; Three-moment CAPM; Three-dimensional optimization.; Lågriskanomalin; Skevhet; Coskewness; Three-moment CAPM; Tredimensionell optimering.;

    Sammanfattning : Bakgrund I snart ett halvt sekel har aktier med lågt beta visat sig generera hög avkastning i förhållande till risk. Denna observation brukar benämnas lågriskanomalin och ända sedan fenomenet uppmärksammades av Black 1972 har olika studier försökt förklara orsaken till dess förekomst. LÄS MER

  4. 3. Speculative Betas in Europe - Based on Evidence from Western European Stocks and Bonds

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

    Författare :Bence Földi; Tiran Zhao; [2018]
    Nyckelord :Asset pricing; Heterogeneous beliefs; Disagreement; Speculative betas; Security Market Line;

    Sammanfattning : We find and present compelling evidence to reject the classic one-regime CAPM Security Market Line based on data from developed European equity markets which we proxy by taking the original 12 members of the euro area combined with the UK. We construct a bottom-up measure for aggregate disagreement which we prove to negatively influence the curvature of the Security Market Line. LÄS MER

  5. 4. A Study on the Low Volatility Anomaly in the Swedish Stock Exchange Market : Modern Portfolio Theory

    Kandidat-uppsats, Linköpings universitet/Nationalekonomi; Linköpings universitet/Fysik och elektroteknik

    Författare :George Abo Al Ahad; Denis Gerzic; [2017]
    Nyckelord :Fama and Macbeth; Fama and French; Low Volatility Anomaly; Stock; Market; Portfolio Theory; CAPM; Econometrics; Expected return forecasting;

    Sammanfattning : This study investigates, with a critical approach, if portfolios consisting of high beta stocks yields more than portfolios consisting of low beta stocks in the Swedish stock exchange market. The chosen period is 1999-2016, covering both the DotCom Bubble and the financial crisis of 2008. LÄS MER

  7. 5. Beyond Rational - A study on the drivers of the beta anomaly in Sweden

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

    Författare :Karl Hellgren; Alexander Helmy; [2017]
    Nyckelord :Beta anomaly; Betting against beta; Lottery demand; Leverage constraints; Asset pricing;

    Sammanfattning : Inspired by previous findings that low (high) beta stocks earn abnormally high (low) returns we set out to explore this relation, often called the beta anomaly. We prove that the beta anomaly is present in our sample of Swedish stocks. The alpha generated by a betting against beta portfolio that exploits the beta anomaly is 1.71% per month. LÄS MER