Sökning: "cross-section of returns"

Visar resultat 21 - 25 av 43 uppsatser innehållade orden cross-section of returns.

  1. 21. The Uncertainty of Risk - Volatility of Volatility in the Swedish Equity Market

    Master-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Ali Khanzadi; Fredrik Elliot; [2016]
    Nyckelord :Uncertainty; Volatility of Volatility; Aggregate risk factors; ICAPM; Business and Economics;

    Sammanfattning : In addition to market volatility, a stylized theoretical model and recent empirical findings suggests the existence of a premium for market volatility of volatility. By developing seven different measures of volatility of volatility and through the method of principal component analysis, we investigate if this aggregate uncertainty is priced in the Swedish equity market. LÄS MER

  3. 22. Growth Expectations, Dispersion of Beliefs and the Cross-Section of Stock Returns

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Simon Ingo Koch; [2016]
    Nyckelord :Growth expectations; dispersion of beliefs; macroeconomic uncertainty; cross-section of stock returns; omitted variable bias; multicollinearity; Business and Economics;

    Sammanfattning : The present study investigates whether the mean and the standard deviation of real GDP growth forecasts from the ECB Survey of Professional Forecasters (SPF) can help to explain the cross-sectional variation of expected returns in the German stock market. The expected real GDP growth from the SPF can be interpreted as a proxy for expected business conditions, whereas the cross-sectional dispersion of these expectations may serve as a proxy for macroeconomic uncertainty. LÄS MER

  4. 23. Analyst Disagreement- A Recipe for Disaster: The Cross-section of Scandinavian Stock Returns

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Robert Wigermo; Viktor Svärd; [2015-07-13]
    Nyckelord :Differences of opinion; Short sale constraints; Return predictability;

    Sammanfattning : We show that dispersion in analysts’ earnings forecasts is negatively related to future returns on the Scandinavian stock markets. This negative relation is most pronounced for small stocks. LÄS MER

  5. 24. Distress Risk - Quality or Junk? Nordic evidence on the ability of distress risk to explain variations in stock returns

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för redovisning och finansiering

    Författare :Parham Abuhamzeh; Axel Malgerud; [2015]
    Nyckelord :Distress Anomaly; Probability of Failure; Cross Section; Asset Pricing Models; Stock Price Reaction;

    Sammanfattning : The risk-return paradigm suggests there should be a positive association between distress risk (i.e. the probability of firm failure) and subsequent excess stock returns. However, we present puzzling evidence suggesting investors are not compensated for taking on additional distress risk. LÄS MER

  7. 25. Firm-Specific Variables and Expected Stock Returns - A study on the German Market -

    Magister-uppsats, Lunds universitet/Företagsekonomiska institutionen

    Författare :Dylan Remmits; Viktoria Knittel; [2015]
    Nyckelord :Expected Stock Returns; Fama-MacBeth Cross-Sectional Regression; Risk Premia; German Market; Value Investing; Factor Investing; Portfolio Approach; Conditional Beta; Firm-Specific Variables; Business and Economics;

    Sammanfattning : Purpose: The purpose of this thesis is to investigate which firm-specific variables can explain the cross-section of expected stock returns in the German market. The tested explanatory variables are market beta, firm size, the book-to-market ratio, the earnings-to-price ratio, leverage, the dividend yield, the cash flow-to-price ratio and sales growth. LÄS MER