Sökning: "Fama and Macbeth"

Visar resultat 21 - 25 av 42 uppsatser innehållade orden Fama and Macbeth.

  1. 21. Investing on the risk of company bankruptcy

    C-uppsats, Handelshögskolan i Stockholm/Institutionen för redovisning och finansiering

    Författare :Jan Wocalewski; Simon Bergman; [2017]
    Nyckelord :Skogsvik 1990 s pfail; Distress risk anomaly; CAPM; Portfolio analysis; Cross sectional regressions;

    Sammanfattning : We investigate the risk-return relationship between bankruptcy risk, measured by Skogsvik (1990)'s probability of firm failure ("pfail"), and stock returns on a refined stock sample on Stockholmsbörsen between 2002 and 2017. Using portfolio analysis and cross sectional regressions inspired by Fama-MacBeth (1973), we find lacking evidence to support a distress risk premium. LÄS MER

  3. 22. Do stock-level liquidity shocks predict stock returns? - Evidence from the Swedish stock market

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Kristoffer Nilsson; [2016]
    Nyckelord :stock-level liquidity shocks; liquidity; bid-ask spread; liquidity premium; Business and Economics;

    Sammanfattning : Adopting a methodology similar to Bali, Peng, Shen and Tang (2014), this essay investigates whether stock-level liquidity shocks predict future returns on the Swedish stock market. Liquidity is measured by the relative bid-ask spread. LÄS MER

  4. 23. Monetary Policy Announcements and the Beta Risk Premium on NASDAQ OMX Stockholm

    Master-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Clas Lindberg Odhner; Kevin Zachrisson; [2016]
    Nyckelord :risk premium; CAPM; monetary policy; central bank; announcements; Business and Economics;

    Sammanfattning : This research paper analyses the relationship between average excess stock return and market beta on the Nasdaq OMX Stockholm for the period 1999 to 2015. By using the Fama-MacBeth approach and several additional regressions, we are able to examine if the relationship exists on days when the market anticipates receiving news regarding monetary policy decision by the Riksbank, Federal Reserve, European Central Bank and Bank of England. LÄS MER

  5. 24. The Relation Between Idiosyncratic Volatility and Returns for U.S. Mutual Funds

    Master-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Kevin Skogström Lundgren; [2016]
    Nyckelord :Idiosyncratic volatility; Mutual funds; Carhart four-factor model; ARIMA model; Carhart four-factor alpha; Business and Economics;

    Sammanfattning : Theoretically the relation between returns and idiosyncratic volatility should be non-existent or positive. Many empirical studies confirm this but Ang, Hodrick, Xing and Zhang (2006) contest the conventional view and find a negative relationship for a sample of U.S. firms. LÄS MER

  7. 25. Firm-Specific Variables and Expected Stock Returns - A study on the German Market -

    Magister-uppsats, Lunds universitet/Företagsekonomiska institutionen

    Författare :Dylan Remmits; Viktoria Knittel; [2015]
    Nyckelord :Expected Stock Returns; Fama-MacBeth Cross-Sectional Regression; Risk Premia; German Market; Value Investing; Factor Investing; Portfolio Approach; Conditional Beta; Firm-Specific Variables; Business and Economics;

    Sammanfattning : Purpose: The purpose of this thesis is to investigate which firm-specific variables can explain the cross-section of expected stock returns in the German market. The tested explanatory variables are market beta, firm size, the book-to-market ratio, the earnings-to-price ratio, leverage, the dividend yield, the cash flow-to-price ratio and sales growth. LÄS MER