Sökning: "Cross-section of returns"

Visar resultat 1 - 5 av 43 uppsatser innehållade orden Cross-section of returns.

  1. 1. How Does the Three-factor Model Perform and What Explains its Performance? Empirical tests on Swedish stock portfolios

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen; Lunds universitet/Statistiska institutionen

    Författare :Daniel Björck; [2023]
    Nyckelord :Three-factor model; stock returns; Swedish stocks; CAPM; Business and Economics;

    Sammanfattning : In this study the three-factor model of Fama and French (1992; 1993) is evaluated on portfolios of Swedish stocks. Both a cross-section and time series approach are used to evaluate the model. The results show that beta, size, and book-to-market are significant variables in explaining excess returns of Swedish stock portfolios. LÄS MER

  3. 2. Deformationsmätning av kubhörnsreflektorer med fotobaserad skanning och terrester laserskanning

    Kandidat-uppsats, Högskolan i Gävle/Samhällsbyggnad

    Författare :Mathias Erkkilä; Torkel Pettersson; [2022]
    Nyckelord :close-range photogrammetry; terrestrial laser scanning; deformation measurement; corner reflectors; InSAR; fotobaserad skanning; Terrester laserskanning; deformationsmätning; kubhörnsreflektor; InSAR;

    Sammanfattning : Kubhörnsreflektorer används som måltavlor med kontinuerlig och identifierbar reflekterad signalstyrka vid fjärranalys, bland annat för tekniken ”interferometric synthetic aperture radar” [InSAR]. Kubhörnsreflektorer tillämpas exempelvis för bevakning av sättningar i jordytan och kalibrering av [SAR]-system (”synthetic aperture radar”). LÄS MER

  4. 3. Common risk factors in the cross-section of cryptocurrency returns An empirical study on different types of cryptocurrency anomalies: size, momentum, volatility and trend

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Luo Dan; Andersson Sebastian; [2021-06-30]
    Nyckelord :;

    Sammanfattning : This paper identifies three common risk factors in the returns on cryptocurrencies. The three common risk factors are the market factor, size factor, and momentum factor. LÄS MER

  5. 4. The Performance of Stocks Earning Extreme Single-Day Returns: Evidence from Sweden

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

    Författare :Dominik Schleuss; Tavish Gantz; [2021]
    Nyckelord :MAX Effect; Extreme returns; Cross-section of returns; Lottery-like payoffs; Behavioral Finance;

    Sammanfattning : In 2011, Bali et al. presented evidence that stocks with extreme one and multi day-returns significantly underperform stocks with less extreme returns in the following month. They attributed this to investors exhibiting a preference for stocks with lottery-like payoffs. LÄS MER

  7. 5. Impact of Climate Change on Equity Markets

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

    Författare :Ensari Eroglu; Anuj Agrawal; [2021]
    Nyckelord :climate change; climate vulnerability; climate readiness; fixed effects; ND-GAIN;

    Sammanfattning : Climate change and its effects on our daily life are one of the most visited research topics in the last few years. A growing number of this literature focuses on the impact of climate change on the economy and financial markets, and the threat it may pose on long-term investments. LÄS MER