Sökning: "Beta Anomaly"

Visar resultat 1 - 5 av 15 uppsatser innehållade orden Beta Anomaly.

  1. 1. Post Earnings Announcement Drift in the Stockholm Stock Exchange : How pronounced is PEAD on beta, traded volume and sector allocation?

    Master-uppsats, Blekinge Tekniska Högskola/Institutionen för industriell ekonomi

    Författare :Ramon Nino; Paula Sander Pettersson; [2023]
    Nyckelord :PEAD; Post Earnings Announcement Drift; Anomalies; Efficient Market Hypothesis; Earnings announcements; beta; volume; sector; price;

    Sammanfattning : Post Earnings Announcement Drift (PEAD) is a market anomaly that challenge the “Efficient Market Hypothesis” (EMH). It was first discovered in 1968 by Ball and Brown. When firms on the stock market have their earnings announcement the stock price will be affected and tend to drift up or down in price for days, weeks or months. LÄS MER

  3. 2. The Momentum Premium: An Intermediary Asset Pricing Perspective

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

    Författare :Simon Eliasson; David Öhlund; [2021]
    Nyckelord :Momentum; Intermediary Asset Pricing; Time-Varying Risk;

    Sammanfattning : We attempt to explain the momentum premium using time-varying risk under the frictions of financial intermediation. Our conditional CAPM model reveals positive covariation between momentum's beta and the expected market risk premium. LÄS MER

  4. 3. 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

  5. 4. Does the sinner beat the saint? An empirical study of the Nordic stock market

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Jonathan Winberg; [2019-11-27]
    Nyckelord :Sin Stocks; Sin Stock Anomaly; Nordic Stock Market; Fama-French Three-Factor Model; CAPM; Asset Pricing Models; Portfolio Asset Management; OLS; Gambling; Tobacco; Alcohol; Weapons; Oil Gas; Self-Financing; Portfolio Strategy;

    Sammanfattning : Abstract This research paper studies the interaction between monthly returns of sin stock portfolios, where the purpose is to get an understanding of what impact an exclusion of sin stocks can have on portfolio returns for Nordic stock investors. OLS (ordinary least squares) time-series regression models are used to execute this research, using data between 1990-2018. LÄS MER

  7. 5. 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