Sökning: "Fama and Macbeth"

Visar resultat 6 - 10 av 42 uppsatser innehållade orden Fama and Macbeth.

  1. 6. Replicating the retailers' trading imbalance anomaly : A quantitative study about excess return opportunities on Swedish Small Cap listed firms

    Master-uppsats, Uppsala universitet/Företagsekonomiska institutionen

    Författare :Erik Kroon; Tom Karlsson; [2021]
    Nyckelord :retailers; rrading; imbalances; anomaly; anomalies; replicating; broker statistics; asset pricing models; CAPM; Fama and MacBeth;

    Sammanfattning : Previous research conducted on the US markets has found that retailers' trading imbalances can contribute to excess return opportunities, especially on Small Cap stocks. Therefore, we argue that this can be seen as an anomaly. However, anomalies that are found historically may not tell the whole truth. LÄS MER

  3. 7. Is it really worth it?

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Adam Grönvall; Kivanç Kiray; [2020]
    Nyckelord :Procyclicality premium; Industrial production; Fama Macbeth 2-stage regression; Fama French risk factors; IPI.; Business and Economics;

    Sammanfattning : Previous research shows that there exists a procyclicality premium in some large economies like the U.S. However, this study investigates if a procyclicality premium is present in a small open economy like Sweden as well as in some developed countries around the world due to the size of the Swedish economy. LÄS MER

  4. 8. Duration-Weighted Carbon Footprint Metrics and Carbon Risk Factor for Credit Portfolios

    Master-uppsats, KTH/Matematisk statistik

    Författare :Erik Hendey Bröte; [2020]
    Nyckelord :Factor models; carbon footprint; risk factors; carbon risk; Faktormodeller; koldioxidsavtryck; riskfaktorer; kolrisk;

    Sammanfattning : Current standard carbon footprint metrics attribute responsibility for a firm’s green house gas (GHG) emitting activities equally between an entity’s equity and debt. This study introduces a set of novel duration-weighted metrics which take into consideration the length of financing provided. LÄS MER

  5. 9. Does Quality Matter?

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Lovisa Jalrup; Sawan Patel; [2020]
    Nyckelord :Investment strategy; Small-Minus-Big SMB ; size effect; firm quality; Fama-MacBeth two-step regressions.; Business and Economics;

    Sammanfattning : The purpose of this study is to investigate if there is any size effect in the Swedish stock market between April 2010 and December 2019, and if controlling for firms' quality improves the performance of a size-based investment strategy. The risk premium of firms with smaller market value of equity has since its discovery been under heavy scrutiny. LÄS MER

  7. 10. A Comparative Analysis of the Performance of Euro-Denominated Green and Conventional Bonds

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Liina-Johanna Leeve; Lois Anum; [2019]
    Nyckelord :Green Bonds; Conventional Bonds; Sustainable Investments; Corporate Bonds; Fama-Macbeth Regression; Fama-French Model; Matching Principle; Merton Model; Business and Economics;

    Sammanfattning : The green bond market has seen exponential growth since its boom in 2013 but literature on this topic is considered woefully inadequate. This research paper therefore seeks to compare the performance of European green bonds against its conventional counterparts. LÄS MER