Sökning: "Idiosyncratic Momentum"

Hittade 4 uppsatser innehållade orden Idiosyncratic Momentum.

  1. 1. Enhanced Risk-Adjusted Returns Through Momentum Adaptations - Analysis on Momentum Strategies in the Nordic Stock Market

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Felix Nilsson; Bastiaan Picone; [2021-06-30]
    Nyckelord :Momentum Strategies; Momentum; Price Momentum; Idiosyncratic Momentum; Alpha Momentum; Momentum Adaptations; Constant-Volatility Scaling; Momentum Crash; Nordic Momentum; Volatility; Anomaly; Stock Returns;

    Sammanfattning : Momentum strategies where one buys past winners and sells past losers are one of the most persistent stock market anomalies, showcasing abnormal returns across different markets, asset classes and time periods. Nevertheless, price momentum has been shown by the financial literature to possess considerable hazards, such as high volatility and crash risks. LÄS MER

  3. 2. The Performance of Stocks Earning Extreme Single-Day Returns: Evidence from Sweden

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Dominik Schleuss; Tavish Gantz; [2021]
    Nyckelord :MAX Effect; Extreme returns; Cross-section of returns; Lottery-like payoffs; Behavioral Finance;

    Sammanfattning : In 2011, Bali et al. presented evidence that stocks with extreme one and multi day-returns significantly underperform stocks with less extreme returns in the following month. They attributed this to investors exhibiting a preference for stocks with lottery-like payoffs. LÄS MER

  4. 3. Think on the Downside: Multifactor asset pricing models based on downside risk and their performance relative to the CAPM, FF3F and Momentum

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Daniil Bargman; [2012]
    Nyckelord :downside risk; MLPM; Omega; co-skewness; co-kurtosis;

    Sammanfattning : This paper introduces two new measures of asset performance in a downside risk-­-reward framework. The first measure, Omega-­-H, is an extension of the Omega ratio from Keating and Shadwick (2002a) that captures an asset's idiosyncratic downside risk and upside potential. LÄS MER

  5. 4. A study of the risk-return relationship in the Swedish housing market: evidence from an H-CAPM model

    C-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Adrian Imreorow; Oscar Schagerström; [2011]
    Nyckelord :housing capital asset pricing model; H-CAPM; housing market; house price returns; risk-return relationship;

    Sammanfattning : This paper investigates the risk-return relationship in the Swedish housing market by testing a housing capital asset pricing model (H-CAPM). The model is applied on one- and two-dwelling houses for permanent living in 238 municipalities between 1982 and 2009. LÄS MER