Sökning: "cross-section of returns"

Visar resultat 11 - 15 av 43 uppsatser innehållade orden cross-section of returns.

  1. 11. The value of personality - Using algorithms and econometrics to analyze CEO conscientiousness and its impact on M&A performance

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Axel Gillmert; Henrik Persson; [2019-08-12]
    Nyckelord :M A performance; CEO acquisitiveness; Big Five personality traits; Conscientiousness;

    Sammanfattning : Even after years of extensive and rigorous research, there is still a puzzling question relating to why managers keep engaging in M&A activities in spite of their tendency to destroy value for the shareholders of the acquiring firm. By seeking explanations in personality psychology, we examine the relationship between CEO conscientiousness, short-term stock market reactions and CEO acquisitiveness. LÄS MER

  3. 12. Modeling the evolution of market uncertainty- Hedge Fund returns and Volatility of Aggregate Volatility within a dynamic perspective

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Annalisa Caros; [2019-07-02]
    Nyckelord :;

    Sammanfattning : This paper investigates, in a dynamic perspective, whether uncertainty about equity market returns can have implications on hedge fund portfolio decisions over time. Therefore, the thesis wants to ascertain if the risk originated by that uncertainty is an explanatory factor for cross-sectional differences in returns over time. LÄS MER

  4. 13. 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. 14. The effects of Environmental, Social and Governance measures on the cross section of stock return, a compensation for risk or mispricing? Evidence from the Swedish stock market

    Kandidat-uppsats,

    Författare :Ludvig Annér; Nora Jakobsson van Stam; [2018-08-31]
    Nyckelord :;

    Sammanfattning : There is a lack of uniformity throughout the literature regarding the effects of socially responsible investing. By implementing a Fama-MacBeth style regression with the Fama French three factors and the momentum factor, extended with several detailed environmental, social and governance scores the lack of uniformity of these effects are confirmed. LÄS MER

  7. 15. 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