Sökning: "cross-section of returns"
Visar resultat 16 - 20 av 43 uppsatser innehållade orden cross-section of returns.
16. Portfolio Strategies in Bad Times
D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiSammanfattning : 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
17. Good and Bad Macroeconomic Uncertainty: Implications for Bond Risk Premia
D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiSammanfattning : This paper explores the predictive power of macroeconomic uncertainty on bond risk premia. We decompose quarterly survey data into good and bad uncertainty components by estimating positive and negative semi-variances. Building on theoretical evidence, these uncertainties are assumed to feed into future positive and negative shocks to consumption. LÄS MER
18. Momentum in Sweden: Past Returns and Continuing Overreaction
D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiSammanfattning : Comparing the performance of a traditional long-short momentum trading strategy to one based on a measure for continuing overreaction on OMXS 1997-2016, this study shows that traditional momentum only generates significant profits in the short-term. On the contrary, the continuing overreaction approach provides investors with significant profits for a variety of different holding- and formation periods, mainly attributable to its ability to pick winners. LÄS MER
19. Earnings Surprises and the Cross-Section of Stock Returns
C-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiSammanfattning : Do earnings surprises affect stock prices during the subsequent quarter? If so, what is the estimated impact, and to what extent can it be clearly distinguished from other factors? To answer these questions we build ten dynamic portfolios in which the companies are continuously reallocated according to their latest earnings surprise. A cross-sectional regression based on these portfolios indicates a distinct albeit nonlinear effect of the earnings surprise. LÄS MER
20. Seasonalities in Common Stock Returns: Evidence from Germany and Sweden
D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiSammanfattning : This paper studies return seasonalities in the cross-section of German and Swedish listed common stocks. We find that stock returns in both countries exhibit traditional return patterns, such as short-term reversal, momentum, and signs of long-term reversal effects. LÄS MER
