Sökning: "Idiosyncratic skewness"
Visar resultat 1 - 5 av 6 uppsatser innehållade orden Idiosyncratic skewness.
1. The Performance of Stocks Earning Extreme Single-Day Returns: Evidence from Sweden
D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiSammanfattning : 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
2. Plötsligt händer det : En kvantitativ studie om efterfrågan på lotteriaktier i Sverige
Kandidat-uppsats, Uppsala universitet/Företagsekonomiska institutionenSammanfattning : Tidigare studier i USA har påvisat ett positivt samband mellan individuella investerare som köper lotter och deras benägenhet att köpa aktier med liknande karaktärsdrag. Enligt klassisk finansteori bör inte individuella investerare äga så kallade lotteriaktier då de tenderar att generera negativ avkastning – trots detta äger många individuella investerare lotteriaktier. LÄS MER
3. Tracking Down Skewness: What Role does Fundamental Risk Play? Evidence from Swedish Equities 1994-2013
D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiSammanfattning : Our thesis sheds light on the research gap of what makes a firm's stock return skewed. We conduct a broad and explorative study in the Swedish equity market from 1994-2013 to find possible relations between different fundamental risk measures and two particular skewness indicators. LÄS MER
4. Hoping for the jackpot - Swedish individual investors' trading activities in lottery stocks
D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiSammanfattning : In this thesis we analyze behavioural biases that can affect Swedish individual investors during the first years of the financial crisis, between January 2006 and January 2009. In particular, we examine their trading activity of lottery stocks and its effect on the prices, and consequently, on the returns of these stocks. LÄS MER
5. 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 ekonomiSammanfattning : 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
