Sökning: "Idiosyncratic volatility effect"
Visar resultat 1 - 5 av 13 uppsatser innehållade orden Idiosyncratic volatility effect.
1. Revisiting the Idiosyncratic Volatility Puzzle and MAX Effect in European Equity Markets
D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiSammanfattning : In light of traditional financial theory's argument that firm-specific risk should not impact future returns, the findings of the Idiosyncratic Volatility (IVOL) puzzle, as well as the Maximum Daily Returns (MAX) effect, have sparked a vibrant academic debate. Using data from January, 1993, to December, 2022, this paper presents European aggregate and country-level evidence at the intersection between the two asset pricing anomalies. LÄS MER
2. 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
3. Nyckeltal och dess betydelse för aktievolatilitet
Magister-uppsats, Linköpings universitet/Företagsekonomi; Linköpings universitet/Filosofiska fakultetenSammanfattning : Bakgrund: Relationen mellan avkastning och risk har länge varit debatterad. Den klassiska modellen Capital Asset Pricing Model, CAPM, är en av standardmodellerna inom finans. CAPM har dock brister och kompenserar inte investerare för den företagsspecifika risken som tas. LÄS MER
4. The Effect of ESG Performance on Share Price Volatility
Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/FöretagsekonomiSammanfattning : Environmental, Social, and Governance (ESG) investing is growing rapidly. Previous research in the area, has mostly been centered around ESG/CSR and its link to corporate financial performance, cost of capital and idiosyncratic risk. LÄS MER
5. The Effect of Customer-base Diversification on Idiosyncratic Volatility
Magister-uppsats, Lunds universitet/Nationalekonomiska institutionenSammanfattning : The study sets out the objective to investigate how a firm’s customer-base diversification affects its stock return idiosyncratic volatility. The research paper primarily focuses on the way that the distribution of sales impacts the firm specific risk that is unrelated to the risk of the market, and it does so through the use of both a geographical and an operating customer-base concentration measure. LÄS MER