Sökning: "cross-section of returns"

Visar resultat 6 - 10 av 43 uppsatser innehållade orden cross-section of returns.

1. 6. Spaculative Sentiment - An Analysis of the Impact of Investor Sentiment on SPAC Activity and Performance

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

   Författare :Hannes Weidemann; Eid Jazairi; [2021]
   Nyckelord :Special purpose acquisition company; Investor sentiment; Speculative; Cross-sectional variation;

   Sammanfattning : SPACs have experienced a puzzling surge in popularity despite academics documenting their severe historic underperformance. This paper adds a new layer to previous research by investigating whether market sentiment can explain SPAC activity and performance. We find that SPAC activity rises when investor sentiment falls. LÄS MER

3. 7. Momentum and Trend in Sweden: Enhancing profits and limiting downside risk by using indicators from different time horizons

   Master-uppsats, Göteborgs universitet/Graduate School

   Författare :Alan Dari Lindahl; Jan Wiki; [2020-07-07]
   Nyckelord :momentum; momentum crash; echo; trend; moving averages; cross-section; downside risks; predictability; factor models; turnover; transaction costs;

   Sammanfattning : 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

4. 8. Asset growth and the cross-section of stock returns: Evidence from Nordic equity markets

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

   Författare :Joel Wägmark; Fredrik Biesèrt; [2020]
   Nyckelord :Asset Growth Effect; Asset Growth Anomaly; Investment Factor; Nordics;

   Sammanfattning : We investigate the relationship between firm year-on-year percentage change in total assets and subsequent stock returns in Nordic equity markets. Asset growth rates are strong predictors of future stock returns and hold for firm capitalization. Of particular interest, the asset growth effect is present among large capitalization Nordic stocks. LÄS MER

5. 9. Industry Anomalies: An examination of asset pricing anomalies through an industry-specific framework

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

   Författare :Kristiyan Denev; Aleksandar Strinic; [2020]
   Nyckelord :Industry returns; Asset pricing; Anomalies; Industry Factors; Investment strategies;

   Sammanfattning : The finance literature has discovered a large number of anomalies in the cross-section of stock returns over the past three decades. This thesis examines whether some of the most robust anomalies also appear within industries, and whether some are more prominent than others within specific industry sectors. LÄS MER

7. 10. Can Sentiment Predict Stock Returns? Evidence from the Swedish stock market

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

   Författare :Kristin Kjellberg; [2020]
   Nyckelord :Investor sentiment; cross-section of stock returns; Swedish stock market; conditional performance;

   Sammanfattning : Motivated by existing evidence of the importance of psychology and its impact on investors' decision-making behavior, I investigate the Swedish stock market and the implications that investors' sentiment has on the cross-section of returns. Following the methodology applied by Baker and Wurgler (2006), I construct a composite index and employ this in a bivariate portfolio- level analysis. LÄS MER