Sökning: "Idiosyncratic volatility effect"

Visar resultat 6 - 10 av 13 uppsatser innehållade orden Idiosyncratic volatility effect.

1. 6. The Effect of Idiosyncratic Volatility and the Role of Investors' Sentiment in the Swedish Stock Market

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

   Författare :Andrea Ricci; [2017]
   Nyckelord :Arbitrage risk; Arbitrage asymmetry; Idiosyncratic volatility effect; Swedish stocks; Investors sentiment;

   Sammanfattning : The thesis investigates the presence of arbitrage risk and arbitrage asymmetry, and their relation with investors' sentiment, in the Swedish stock market. By assuming that stocks' idiosyncratic volatility (IVOL) translates into arbitrage risk, the study analyzes the effects of IVOL on subsequent returns for the OMX Stockholm 30 constituents. LÄS MER

3. 7. No protection, nu business : An event study on stock volatility reactions to cyberattacks between 2010 and 2015 for firms listed in the USA

   Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Företagsekonomi

   Författare :Erik Collin; Gustav Juntti; [2016]
   Nyckelord :stock volatility; cyberattack; abnormal return; volatility; event study; information technology; US stock market; cybersecurity; reaction; financial impact; market efficiency; finance; fintech;

   Sammanfattning : With the surge of Internet-based corporate communication, organization, andinformation management, financial markets have undergone radical transformation. Inthe interconnected economy of today, market participants are forced to acceptcyberattacks, data breaches, system failures, or security flaws as any other (varying)cost of doing business. LÄS MER

4. 8. Idiosyncratic Volatility and Risk-Adjusted Returns: Evidence from the Swedish Stock Market

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

   Författare :Andreas Elvelin; Ulf Hage; [2015]
   Nyckelord :Idiosyncratic volatility; Fama-French three-factor model; Risk-adjusted returns; January effect; Microcap stocks;

   Sammanfattning : Classic financial theory says that an investor should not be compensated for holding diversifiable risk, and that no relation between diversifiable risk and returns should exist. However, research has shown diversifiable risk, or idiosyncratic volatility, to be both positively and negatively related to returns, depending on the application. LÄS MER

5. 9. Winning with IVOL

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

   Författare :Anton Kristiansson; Sebastian Vogel; [2015]
   Nyckelord :idiosyncratic risk; asset pricing; stochastic discount factor; limits to arbitrage; IVOL;

   Sammanfattning : Idiosyncratic volatility has an increasing effect on returns. This increasing effect is strongest for small stocks, which can be explained by investors' underdiversification. Previous studies that found a decreasing effect did not control for the low-beta anomaly. LÄS MER

7. 10. Reconciling Quality and Idiosyncratic Volatility Puzzles: A Study of the Effect of Stock Fundamentals on Pricing and Firm-Specific Risk

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

   Författare :Julius Juodinis; Ivan Mihhejev; [2014]
   Nyckelord :quality; fundamentals; idiosyncratic return volatility; pricing;

   Sammanfattning : The aim of the paper is twofold. First - to investigate the relation between quality of a stock, as measured by a set of its fundamentals, and its idiosyncratic return volatility. LÄS MER