Sökning: "Fama-MacBeth two-step regression"
Hittade 3 uppsatser innehållade orden Fama-MacBeth two-step regression.
1. Does Quality Matter?
Magister-uppsats, Lunds universitet/Nationalekonomiska institutionenSammanfattning : 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
2. The Default Risk Puzzle - Evidence from the Swedish market
Magister-uppsats, Lunds universitet/Nationalekonomiska institutionenSammanfattning : Default risk is a major source of potential losses to equity investors and the effect of default risk on stock returns have therefore been widely examined by several papers. However, whether there exists an anomalous significant relationship between default risk and stock returns is a rather unexplored subject on the Swedish market. LÄS MER
3. Stock Valuation, Dividends and Learning Through Age: how learning about a firm and its dividend policy affects its valuation
Magister-uppsats, Lunds universitet/Nationalekonomiska institutionenSammanfattning : This paper looks into how learning about firms and their dividend policy affects their valuation, while comparing the results between North American and German firms. Learning is observed through the age of a firm,where the market-to-book ratio (M/B) is predicted to decline over a firm’s lifespan. LÄS MER