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1. 6. Exploring the Idiosyncratic Volatility Anomaly in the Swedish Stock Market: An Empirical Analysis of its Impact on Returns

   Master-uppsats, Göteborgs universitet/Graduate School

   Författare :Anton Ahlqvist; Walter Uong; [2023-06-29]
   Nyckelord :;

   Sammanfattning : We examine the cross-sectional relationship between idiosyncratic volatility relative to the Fama-French three factor model and expected stock returns. We find that portfolios containing the firms with the lowest idiosyncratic risk offers excess returns in relation to the prediction of the Fama-French three factor model, while those with the highest idiosyncratic risk do not. LÄS MER

3. 7. Pursuit of Excess Returns: Deciphering Performance in European Buyout Funds A Detailed Exploration of Relative Returns and Their Determinants

   Master-uppsats, Göteborgs universitet/Graduate School

   Författare :Gustav Blomdahl; Erik Hillestad Andréasson; [2023-06-29]
   Nyckelord :;

   Sammanfattning : This paper investigates the relative performance of European buyout funds compared to public markets. Using a sample of mature buyout funds, obtained from European limited partners, with vintages between 1995 and 2013, we find that a European buyout fund, on average, outperforms the STOXX Europe 600 index by 52% over its lifetime. LÄS MER

4. 8. Testing the Adaptive Market Hypothesis on the Swedish Stock Market - Empirical evidence between 1990-2019

   Kandidat-uppsats,

   Författare :Jacob Allestam; Filip Sjöberg; [2023-06-29]
   Nyckelord :Adaptive market hypothesis; market efficiency; market conditions; return predictability; trading strategy;

   Sammanfattning : This study examines if the adaptive market hypothesis holds for the Swedish stock market between 1990 and 2019. We use Affärsvärldens Generalindex and test for time-varying return predictability by implementing a variance ratio test and an autocorrelation test. To track how market efficiency evolves over time we use a two-year moving subsample. LÄS MER

5. 9. Unveiling the Impact of ESG Ratings on Risk-Adjusted Returns : Evidence from European Companies

   Master-uppsats, Uppsala universitet/Företagsekonomiska institutionen

   Författare :David Melin; Otta Alexander; [2023]
   Nyckelord :ESG; Sustainability; Risk-adjusted return; Risk factor; Factor model; Portfolio; Europe;

   Sammanfattning : This study uses a sample of 600 companies from Europe to investigate the risk-adjusted returns of four portfolios with high and low ESG ratings between 2011 and 2021. Four asset pricing models and additional measures for risk and return are tested on different portfolio weights. LÄS MER

7. 10. Exploring Momentum: The Hidden Drivers of Stock Returns in the Nordic Market

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

   Författare :Axel Dillner; Johanna Roos; [2023]
   Nyckelord :Momentum; Price Momentum; Earnings Momentum; Earnings Surprises; Standardized Earnings Surprise; SES;

   Sammanfattning : This thesis investigates the relationship between price momentum, earnings momentum, and stock returns in the Nordic region by examining the risk-adjusted performance measures of various momentum strategy portfolios. Inspired by Novy-Marx's 2015 theory that momentum in firm fundamentals explains the performance of price momentum strategies, this study seeks to provide deeper insights into momentum drivers and their implications for investment professionals. LÄS MER