Sökning: "Predictability of Stock Returns"

Visar resultat 21 - 25 av 49 uppsatser innehållade orden Predictability of Stock Returns.

1. 21. Empirical evidence of stock return predictability using macroeconomic variables

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

   Författare :Jonatan Gustafsson; Carl Ferm; [2018]
   Nyckelord :Granger Causality; Predictive Regressions; Trading Strategies; Macroeconomic Variables; Repo Rate;

   Sammanfattning : We investigate whether macroeconomic variables can predict returns of the OMXS30 index in the short run, and if an investor can generate abnormal profits from using the variables with significant predictive power. Granger causality tests, along with a predictive OLS regression framework show that the first difference of the repo rate and the log difference in exchange rates significantly Granger cause stock returns on the Swedish market. LÄS MER

3. 22. Return Predictability and Strategic Asset Allocation (A study examining return predictability on the Swedish market and strategic asset allocation of the Swedish buffer pension funds.)

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

   Författare :Jakob Glasberg; Jonatan Blomstrand; [2018]
   Nyckelord :Return predictability; Strategic asset allocation; Pension fund;

   Sammanfattning : The purpose of this paper is to examine whether Swedish macro-economic variables can predict domestic excess stock and bond return. The paper examines what effects the short-term rate, maturity yield spread and dividend yield have on the aforementioned returns. LÄS MER

4. 23. Portfolio Strategies in Bad Times

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

   Författare :Johan Ytterfors; Oskar Fröberg; [2018]
   Nyckelord :Portfolio strategy; Bad times alpha; Investing in recessions; Investor mentality;

   Sammanfattning : Institutional and private investors are being overwhelmed by information and theory. The difficulty lies in identifying what truly improves returns and reduces risk. In the midst of all this noise, the worry of an upcoming downturn following the recent years of strong market returns is brewing for the risk averse investors. LÄS MER

5. 24. The Predictability of Analyst Coverage on Stock Returns - Empirical Evidence from China's Stock Market

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

   Författare :Zhuoyan Lao; Huaqian Zhu; [2018]
   Nyckelord :Analyst Coverage; Future Stock Return; China s Stock Market;

   Sammanfattning : This paper studies the association between the analyst coverage (both total analyst coverage and abnormal analyst coverage) and future stock returns in Shanghai A-share stock Market over a period of ten years from 2008 to 2017. Our study draws inspiration from the work of Charles M.C. Lee and Eric C. LÄS MER

7. 25. Aftermarket Performance of Micro-Capitalized Initial Public Offerings

   Master-uppsats, Stockholms universitet/Företagsekonomiska institutionen

   Författare :Fredrik Lüsch; [2017]
   Nyckelord :IPO; Aftermarket; Performance; Penny; Stock; Aktietorget;

   Sammanfattning : The aftermarket stock price performance of micro-capitalized IPOs with penny stock status is an often-neglected subsample in the IPO research literature. As the markets in which these IPOs are often traded are subject to lower listing and disclosure requirements, there is a higher degree of asymmetrical information between issuers and investors than on more regulated exchanges. LÄS MER