Sökning: "Return predictability"
Visar resultat 11 - 15 av 63 uppsatser innehållade orden Return predictability.
11. Myth Busted: Stock Return Anomalies Revisited
C-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiSammanfattning : Research has uncovered over 450 anomaly factors that exhibit stock return predictability. However, after anomalies are published and studied in successive literature, the return predictability often seems to attenuate or disappear. LÄS MER
12. Analysis on company financials prior to listing in relation to stock return: : Evidence from Stockholm Stock Exchange
Kandidat-uppsats, KTH/Matematisk statistikSammanfattning : The purpose of this study is to identify what company specific parameters prior to an IPO have significant impact on share price performance one year after listing. This is done by analysing listings on the Stockholm Stock Exchange in the period 2014-2019. LÄS MER
13. Investment Companies and Predictable Returns
C-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiSammanfattning : This paper investigates investors' limited attention through Swedish investment companies and their respective underlying portfolios. The results indicate that there is no systematic lag in the stock price of investment companies relative to their underlying portfolios, implying that investors are attentive to the information of the underlying portfolio when valuing the investment company. LÄS MER
14. Momentum and Trend in Sweden: Enhancing profits and limiting downside risk by using indicators from different time horizons
Master-uppsats, Göteborgs universitet/Graduate SchoolSammanfattning : Although being one of the most robust anomalies ever discovered, the momentum factor occasionally suffer big losses during market recessions periods. We apply and compare different factor models, and find that when sorting the momentum factor on prior 2-6 months it earns a higher average monthly return compared to the common sorting on prior 2-12 months. LÄS MER
15. Return Differences on the Swedish Stock Market When Incorporating Different Value-Factors
Master-uppsats, Göteborgs universitet/Graduate SchoolSammanfattning : In this paper, we investigate the predictability in stocks return on the Swedish equity market between 2006 and 2017. Answering the question, what is the differences in using Fama-French three-factor model when applying different constructed portfolios? Previous literature examines this topic on the American stock market. LÄS MER
