Sökning: "Fama and Macbeth"
Visar resultat 16 - 20 av 42 uppsatser innehållade orden Fama and Macbeth.
16. Evaluating the Risk Premium in the Cross-Section of Commodity Futures
Magister-uppsats, Lunds universitet/Nationalekonomiska institutionenSammanfattning : Departing from the increased interest in and beneficial characteristics of investments in commodity futures evident in the literature. This paper evaluates the existence of factors that may explain the cross-section of commodity futures through macro, equity and commodity specific factors. LÄS MER
17. The Asset Pricing Implication on CSI 300 Index China of Monetary Policy Announcement
D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiSammanfattning : Based on Fama-MacBeth method, three stages of regression are conducted to explore the relationship between stock beta and its excess return from 2003 to 2017 on the Chinese stock market in this paper. This thesis aims to explore the effects of monetary policy on the relationship between market beta and average excess return. LÄS MER
18. The Predictability of Analyst Coverage on Stock Returns - Empirical Evidence from China's Stock Market
D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiSammanfattning : This paper studies the association between the analyst coverage (both total analyst coverage and abnormal analyst coverage) and future stock returns in Shanghai A-share stock Market over a period of ten years from 2008 to 2017. Our study draws inspiration from the work of Charles M.C. Lee and Eric C. LÄS MER
19. A Study on the Low Volatility Anomaly in the Swedish Stock Exchange Market : Modern Portfolio Theory
Kandidat-uppsats, Linköpings universitet/Nationalekonomi; Linköpings universitet/Fysik och elektroteknikSammanfattning : This study investigates, with a critical approach, if portfolios consisting of high beta stocks yields more than portfolios consisting of low beta stocks in the Swedish stock exchange market. The chosen period is 1999-2016, covering both the DotCom Bubble and the financial crisis of 2008. LÄS MER
20. Price is What You Pay, Value is What You Get - Dissecting the Quality Anomaly in US Equity Returns
Magister-uppsats, Lunds universitet/Nationalekonomiska institutionenSammanfattning : The purpose of the thesis relates to the Quality anomaly observed in the US equity market, where stocks with Quality characteristics tend to outperform and have higher risk adjusted returns. By dissecting the Quality anomaly, the thesis aims to analyze the drivers of the over performance of Quality and investigate the presence of a systematic Quality premium. LÄS MER