Sökning: "Alpha and Stockholm Stock Market."

Visar resultat 21 - 25 av 30 uppsatser innehållade orden Alpha and Stockholm Stock Market..

  1. 21. What Are the Effects of Security Selection and Market Timing on Mutual Fund Performance? A Study of Portfolio Returns and Manager Activity in Sweden

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

    Författare :Marcus Klinga; Henrik Larsson; [2016]
    Nyckelord :Mutual Fund Activity; Tracking Error; Security Selection; Market Timing;

    Sammanfattning : We study the activity of Swedish equity mutual funds by splitting fund manager activity into two different components: market timing and security selection. This is done through a decomposition of the Tracking Error, a method that requires data of the portfolio and index returns exclusively. No portfolio holdings data is needed. LÄS MER

  3. 22. Do Bold Prophecies Lead to Higher Profits?

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

    Författare :Adrian Brun; Carl Oscar Nyh; [2016]
    Nyckelord :Stock recommendations; Sell-side analysts; Herding; Regulation Fair Disclosure;

    Sammanfattning : We find that non-herding ("bold") recommendations - defined as those deviating from last day's consensus by more than one level - had a greater investment value than herding recommendations prior to Regulation Fair Disclosure, which became effective in October, 2000. Indeed, a value-weighted portfolio that purchased S&P 100 companies with the most favourable consensus, made up of bold (all) recommendations, yielded a statistically significant (insignificant) annual abnormal gross return of 7. LÄS MER

  4. 23. How Good Are Analysts at Handling Crisis? - A Study of Analyst Recommendations on the Nordic Stock Exchanges during the Great Recession

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

    Författare :Erika Madebrink; Camilla Sahlin; [2014]
    Nyckelord :analyst recommendations; analyst performance; the Great Recession; flight-to- safety;

    Sammanfattning : The purpose of this thesis is to gain better understanding of the value of analyst recommendations. We show, by studying analyst consensus recommendations on four Nordic stock exchanges that during the Great Recession analysts' ability to generate profitable stock recommendations declined. LÄS MER

  5. 24. Alternative Index Weighting Strategies on the Swedish Stock Market

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

    Författare :William Appelgren; Johanna Trost; [2014]
    Nyckelord :alternative index strategies;

    Sammanfattning : The Market-Capitalization index reweighting has since long had the role as the conventional tool for passive investments through its simplicity and CAPM framework conformance. Nowadays, alternative index reweightings are getting increased traction in the light of market-capitalization criticism and suggested risk-return improvements and possibilities of desired characteristics. LÄS MER

  7. 25. Idiosyncratic Risk and Expected Stock Returns: An Empirical Investigation on the GIPS Countries

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

    Författare :Nadir Luvisotti; [2013]
    Nyckelord :Idiosyncratic Risk; CAPM; Fama-French three factor model; GIPS equity markets;

    Sammanfattning : The thesis aims to provide a framework for understanding how the idiosyncratic risk (IVOL) may affect the returns of individual stocks in the context of the Capital Asset Pricing Model and the Fama-French three factor model. We examine the Greek, Italian, Portuguese and Spanish (GIPS) Equity Markets. LÄS MER