Sökning: "Alpha and Stockholm Stock Market."

Visar resultat 1 - 5 av 22 uppsatser innehållade orden Alpha and Stockholm Stock Market..

  1. 1. Multiplar som investeringsstrategi : En kvantitativ studie om bolag på Stockholmsbörsen mellan åren 2008- 2018

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

    Författare :Victoria Öhlin; Vanja Sakotic; [2019]
    Nyckelord :Investment strategy; multiples; relative valuation; efficient-market hypothesis; excess return; Investeringsstrategi; multiplar; relativvärdering; effektiva marknadshypotesen; överavkastning;

    Sammanfattning : Bakgrund: Det finns olika investeringsstrategier som investerare kan använda sig av, att investera i låga multiplar är en strategi som har studerats väl. Genom att använda sig av låga multiplar kan investerare finna undervärderade bolag som på sikt genererar en överavkastning gentemot marknaden. LÄS MER

  2. 2. The Moat of Finance : Does Complexity Reward the Private Investor?

    Kandidat-uppsats, KTH/Fastigheter och byggande; KTH/Fastigheter och byggande

    Författare :Johan Svanberg; Daniel Max; [2019]
    Nyckelord :Price to Earning; Price to Book; Dividend Yield; Multi-ratio Strategies; Efficient Market Hypothesis; Modern Portfolio Theory; Excess Returns; Alpha and Stockholm Stock Market.;

    Sammanfattning : This paper evaluates the ability of single and multi-ratio investment strategies, such as P/E, P/B, Magic Formula and Piotroski F-score, to generate excess returns and positive alpha values on the Stockholm Stock Market. Performances of the strategies tested are compared to the Stockholm Stock Market as a whole, also known as the index “OMXSPI”. LÄS MER

  3. 3. Combining Value and Quality on the Swedish Equity Market: Does it hold over time?

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

    Författare :Jacob Hesslevik; Victor Wolf; [2019]
    Nyckelord :Magic Formula; Value Investing; Abnormal Returns; Efficient Market Hypothesis; Portfolio Management;

    Sammanfattning : The ultimate goal of many investors is to achieve alpha. Yet, most of them are unable to do this on average. Strategies achieving anomalous effects relating to e.g. LÄS MER

  4. 4. Empirical evidence of stock return predictability using macroeconomic variables

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

    Författare :Jonatan Gustafsson; Carl Ferm; [2018]
    Nyckelord :Granger Causality; Predictive Regressions; Trading Strategies; Macroeconomic Variables; Repo Rate;

    Sammanfattning : We investigate whether macroeconomic variables can predict returns of the OMXS30 index in the short run, and if an investor can generate abnormal profits from using the variables with significant predictive power. Granger causality tests, along with a predictive OLS regression framework show that the first difference of the repo rate and the log difference in exchange rates significantly Granger cause stock returns on the Swedish market. LÄS MER

  5. 5. Momentum in Stock Returns Following Dispersion and Consensus in Analysts' Forecasts

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

    Författare :Amanda Hedlund; Johanna Ingemarson; [2018]
    Nyckelord :Momentum; Forecast dispersion; Analysts recommendations; Short-selling restraints; Behavioural finance;

    Sammanfattning : Our study shows that it is possible for an investor to employ profitable zero-cost portfolio strategies on the OMX Stockholm Benchmark Index that exploit momentum following analysts' forecasts. The significant alpha of the monthly rebalanced long-short portfolios suggests that the analysts' forecasts momentum should be exploited within a month. LÄS MER