Sökning: "Excess stock returns"
Visar resultat 1 - 5 av 188 uppsatser innehållade orden Excess stock returns.
1. Examining the Impact of Football Tournaments on Equity Markets: An Analysis of Market Anomalies, Market Dynamics and Investor sentiment
Kandidat-uppsats,Sammanfattning : This paper investigates whether two international football tournaments have an effect on the performance of four major stock markets during the event period. Some previous literature suggest that the NYSE index tended to fall during every World Cup between 1950 and 2007 due to negative investor sentiment associated with losing and being knocked out of the tournament. LÄS MER
2. Deciphering Sector Performance in the Finnish Stock Market: A Study on Systematic Risk and Investment Strategies
Master-uppsats, Göteborgs universitet/Graduate SchoolSammanfattning : This paper offers an empirical analysis of the Finnish stock market with a focus on sector behaviour, performance, and the effects of systematic risk and economic downturns on sector returns. Despite the fact that Finnish sector classifications were found to differ from the GICS classifications, this research emphasizes the significance of local context in investment decisions. LÄS MER
3. Exploring the Idiosyncratic Volatility Anomaly in the Swedish Stock Market: An Empirical Analysis of its Impact on Returns
Master-uppsats, Göteborgs universitet/Graduate SchoolSammanfattning : 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
4. Testing the Adaptive Market Hypothesis on the Swedish Stock Market - Empirical evidence between 1990-2019
Kandidat-uppsats,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. Exploring Momentum: The Hidden Drivers of Stock Returns in the Nordic Market
D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiSammanfattning : 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
