Sökning: "Market-Adjusted Returns Model"

Visar resultat 1 - 5 av 22 uppsatser innehållade orden Market-Adjusted Returns Model.

  1. 1. The illiquidity exposure factor: An overlooked driver of mutual fund performance

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Jakob Häger; Tim Hansson; [2023-06-29]
    Nyckelord :Illiquidity; liquidity; mutual funds; fund performance; factor models; alpha;

    Sammanfattning : This paper examines if Swedish-focused mutual funds with more illiquid holdings produce higher alpha. By extending the classic Fama and French five-factor model, we pinpoint the effect of illiquidity in underlying holdings on mutual fund alpha generation through a two-step regression model with data between 2019-2022. LÄS MER

  3. 2. IPO Underpricing on small- and microcap companies : A study of first-day returns on Spotlight Stock Market

    Kandidat-uppsats, Uppsala universitet/Företagsekonomiska institutionen

    Författare :Tim Jörnhammar; Dyar Allaf; [2020]
    Nyckelord :Initial Public Offerings; IPO underpricing; Spotlight Stock Market; IPO influencing factors; multiple regression model;

    Sammanfattning : Historical evidence suggests that initial public offerings (IPOs), on average, are priced below their intrinsic value. In this paper, we investigate the magnitude of IPO underpricing on small- and microcap companies listed on the stock exchange Spotlight Stock Market, over the period 2012–2019. LÄS MER

  4. 3. Accelerate your returns? An examination of Earnings Acceleration and a range of other earnings-related stock market anomalies - The Swedish Case

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för redovisning och finansiering

    Författare :Hugo Karlsson; Majuran Jeganmohan; [2020]
    Nyckelord :Earnings Acceleration; Stock Market Anomalies; Market Efficiency; Fundamental Analysis; Earnings;

    Sammanfattning : In this study, we aim to explore whether an investor can use earnings acceleration (EA), defined as quarterly change in earnings growth, to construct a viable trading strategy that is able to separate future winners and future losers on the Swedish stock market. Using a sample from 2004 to 2016, we document that a trading strategy that goes long in top decile EA stocks and short in bottom decile EA stocks is unable to generate abnormal returns in both the month- and quarter-long windows. LÄS MER

  5. 4. Piotroski som investeringsstrategi : Test och utveckling av F_SCORE

    Kandidat-uppsats, Högskolan Kristianstad/Fakulteten för ekonomi

    Författare :John Johannesson; Jacob Svensson; [2019]
    Nyckelord :Fundamental analysis; value stocks; efficient market hypothesis; Piotroski; F_SCORE; Fundamental analys; värdeaktier; effektiva marknadshypotesen; Piotroski; F_SCORE;

    Sammanfattning : This paper uses a fundamental investment strategy model developed by Piotroski (2000), called F_SCORE. The model uses accounting-based ratios applied for portfolios of high book-to-market firms. The aim of the study is to test the model for the US stock market during the years 1998-2015, as well as to develop it. LÄS MER

  7. 5. Macroeconomic forces behind underpricing

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Andrea Tugnoli; Julian Hüfner; [2018]
    Nyckelord :initial public offering; underpricing; macroeconomic variables; cross-section approach; unconventional monetary policy; IPO underpricing; Financial crisis; Business and Economics;

    Sammanfattning : The thesis empirically investigates the question whether there is an influence of macroeconomic forces to initial public offering (IPO) underpricing. In addition it tries to find whether unconventional monetary policy has also an impact on underpricing. LÄS MER