Sökning: "Predictability of Stock Returns"

Visar resultat 6 - 10 av 49 uppsatser innehållade orden Predictability of Stock Returns.

  1. 6. Using sentiment analysis on Reddit to predict stock returns

    Kandidat-uppsats,

    Författare :Love Nilsson; Max Andersson Wikingsson; [2022-07-01]
    Nyckelord :;

    Sammanfattning : This thesis explores if sentiment analysis can be utilized to predict meme stock returns by analyzing social media activity on the Reddit forum WallStreetBets. We further look at how meme stocks differ from non-meme stocks in their return predictability on this forum. LÄS MER

  3. 7. THE PREDICTIVE ABILITY OF FINANCIAL RATIOS ON STOCK RETURNS. A study of the S&P Global 100 during 2000 – 2020

    Kandidat-uppsats, Göteborgs universitet/Företagsekonomiska institutionen

    Författare :Ninni Ekman; [2022-04-07]
    Nyckelord :Financial ratios; stock return; predictability; regression;

    Sammanfattning : This study examines the predictive ability of ten financial ratios on annual stock returns at a one-year horizon. Ratios and stock returns are observed for the S&P Global 100 Index over the time period 2000 to 2020. The index is chosen for its representativeness stemming from the size and multinationality of its constituents. LÄS MER

  4. 8. Learning From Investor Attention: Examining the Predictive Power of Investor Attention on Market Returns with Machine Learning

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

    Författare :Ludvig Hartler; Lukas Uhrström; [2022]
    Nyckelord :investor attention; machine learning; PLS; LSTM; stock returns;

    Sammanfattning : We study the predictive properties of investor attention on time series market returns. Extending an earlier proposed index of investor attention aggregated from twelve popularly studied attention proxies, we show that it strongly predicts excess returns on the stock market. LÄS MER

  5. 9. Cyclical consumption and the aggregate stock market: Evidence from the Nordic countries

    Magister-uppsats, Jönköping University/IHH, Företagsekonomi

    Författare :Sasu Huttunen; Govert Looije; [2021]
    Nyckelord :Cyclical consumption; Aggregate stock market; Nordic countries; Out-of-Sample Predictability;

    Sammanfattning : Researchers have dedicated considerable work to explaining components to excess stock market returns. Recently, Atanasov et al. (2020) managed to explain some of this variance in the US stock markets with a cyclical consumption variable. LÄS MER

  7. 10. The MAX Effect and Investor Sentiment in Sweden

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

    Författare :Soroush Mojtahedi; Artemy Savin; [2021]
    Nyckelord :MAX Effect; Extreme Returns; Investor Sentiment; Lottery-type Stocks; Stock Return Predictability;

    Sammanfattning : Motivated by existing literature about the effect of maximum daily returns (MAX) on subsequent stock returns and the link between this effect and market sentiment, we investigate the possible effect of MAX on stock performance in Sweden and its relation with market sentiment. Portfolio-level analyses show evidence of MAX negatively affecting returns of stocks listed in Sweden, while firm-level cross-sectional regressions show that MAX has little or no effect on individual stocks' returns. LÄS MER