Sökning: "Macroeconomic Announcement Premium"

Hittade 2 uppsatser innehållade orden Macroeconomic Announcement Premium.

1. 1. Fund Managers' Awareness of Announcement Premiums: A Study on Fund Managers' Investment Decisions

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

   Författare :Thomas Paal; Anton Svensson; [2023]
   Nyckelord :Mutual Funds; Earnings Announcement Premium; Macroeconomic Announcement Premium; Decreasing Exposure; Fund Outflows;

   Sammanfattning : In this paper, we interview fund managers of actively managed Swedish mutual funds to understand how they trade around earnings announcements. Based on an academic paper that we use as the basis for our paper, the authors of the paper find that fund managers on average tend to decrease their exposure to stocks ahead of earnings announcements, even though there is a significantly increased risk-reward and earnings announcement premium to earn ahead of the announcements. LÄS MER

3. 2. Are Pre-Scheduled Macroeconomic News Days Different From Other Days? – A Cross-Sectional Analysis of the Swedish Stock Market

   Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Andreas Wendeberg; Sebastian Kejlberg; [2014]
   Nyckelord :the Fama-Macbeth regression; announcement days; CAPM; macroeconomic news; Swedish stock market; Business and Economics;

   Sammanfattning : This thesis has examined if there is any difference in the relationship between different risk factors and the cross-section of assets excess returns on the Swedish stock market between days when macroeconomic news is scheduled to be announced (announcement days) and other days (normal days). The Fama and Macbeth two-pass regression method have been used for investigating the hypothesis that announcement days are different from normal days. LÄS MER