Sökning: "Predictability of Stock Returns"

Visar resultat 16 - 20 av 49 uppsatser innehållade orden Predictability of Stock Returns.

1. 16. Feeling the Heat of Climate Change - How Sensitive Could It Be? 

   Kandidat-uppsats,

   Författare :Gustav Kollberg; John Skantze; [2020-06-29]
   Nyckelord :Climate Sensitivity; Predictability of Stock Returns; Temperature Anomaly; Fama French Three-Factor Model; Carhart Four-Factor Model;

   Sammanfattning : This thesis examines if climate sensitivity predicts stock returns and how well this measurement performs. The sample consists of the S&P 500 and the monthly stock return for the period between 1979 to 2019. The method is first to estimate the climate sensitivity for stock returns from temperature anomaly. LÄS MER

3. 17. Industry Anomalies: An examination of asset pricing anomalies through an industry-specific framework

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

   Författare :Kristiyan Denev; Aleksandar Strinic; [2020]
   Nyckelord :Industry returns; Asset pricing; Anomalies; Industry Factors; Investment strategies;

   Sammanfattning : The finance literature has discovered a large number of anomalies in the cross-section of stock returns over the past three decades. This thesis examines whether some of the most robust anomalies also appear within industries, and whether some are more prominent than others within specific industry sectors. LÄS MER

4. 18. The predictive power of stock style: size, value-growth orientation and the shape of the future return distribution

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

   Författare :Eoin Gallagher; Dmitry Tanazhko; [2019]
   Nyckelord :Return predictability; Stock size; Stock valuation; Skewness; Morningstar;

   Sammanfattning : While there has been extensive research trying to explain the variability in the cross-section of expected stock returns, the predictability of other shape characteristics of the future return distribution is a less studied subject. This thesis investigates the relationship between the size and value-growth orientation of stocks (as measured according to Morningstar) and the shape parameters of their future returns. LÄS MER

5. 19. Can IPO first day returns be predicted? A multiple linear regression analysis

   Kandidat-uppsats, KTH/Matematisk statistik

   Författare :Amar Galijasevic; Josef Tegbaru; [2019]
   Nyckelord :Statistic; applied mathematics; financial mathematics; IPO; regression; Statistik; tillämpad matematik; finansiell matematik; IPO; börsintroduktion; regression;

   Sammanfattning : During the last three years the Swedish stock market has showed a strong upwards movement from the lows of 2016. At the same time the IPO activity has been large and a lot of the offerings have had a positive return during the first day of trading in the market. LÄS MER

7. 20. Forecasting High Yield Corporate Bond Industry Excess Return

   Master-uppsats, KTH/Matematisk statistik

   Författare :Carlos Junior Lopez Vydrin; [2018]
   Nyckelord :;

   Sammanfattning : In this thesis, we apply unsupervised and supervised statistical learning methods on the high-yield corporate bond market with the goal of predicting its future excess return. We analyse the excess return of industry based indices of high-yield corporate bonds belonging to the Chemical, Metals, Paper, Building Materials, Packaging, Telecom, and Electric Utility industry. LÄS MER