Sökning: "cross-sectional variation in average returns"

Hittade 4 uppsatser innehållade orden cross-sectional variation in average returns.

  1. 1. Q-factor Investment Approach: Evidence from the Swedish Equity Market

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Jesper Lundgren; Robin Olin; [2021-06-30]
    Nyckelord :Asset pricing; q-factor model; Swedish equity market;

    Sammanfattning : Four easily measured factors: market, size, investment, and pro tability together con- stitute the empirical q-factor model. The combination of factors have previously shown to largely capture the cross-sectional variation in average stock returns. LÄS MER

  3. 2. Corporate Tax Inversions and Shareholder Value Expectations

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

    Författare :Jenny Ahlén; Jessica Ahlén; [2014]
    Nyckelord :Corporate tax inversion; Expatriation; Tax domicile; Event study; Shareholder value;

    Sammanfattning : This paper aims to investigate the expected shareholder value effects of a corporate tax inversion where a U.S. multinational company re-domiciles to a lower tax-rate country via a merger deal, i.e. LÄS MER

  4. 3. Asset-Specific and Systematic Liquidity on the Swedish Stock Market

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Tetiana Dzhumurat; Veronika Lunina; [2010]
    Nyckelord :systematic liquidity; characteristic liquidity; asset pricing; Fama-French model; Business and Economics;

    Sammanfattning : This essay studies the effect of liquidity on stock returns on the Swedish stock market. Liquidity is addressed both as a market risk factor and an asset characteristics. We use the relative bid-ask spread as a proxy for liquidity level. LÄS MER

  5. 4. The cross-section of Expected Returns Method applied on data from American stocks

    Magister-uppsats, Lunds universitet/Företagsekonomiska institutionen

    Författare :Aracelly Holst; Vladimir Saverchenko; [2009]
    Nyckelord :Management of enterprises; Fama French and Fama MacBeth regressions.; Cross-sectional regression; cross-sectional variation in average returns; Företagsledning; management; Business and Economics;

    Sammanfattning : The main purpose of this thesis is to study the impact of a number of independent variables on the cross-section of expected returns on NYSE, ALTERNEXT (formed AMEX) and NASDAQ stocks between 1990 and 2008 in the American market. The analysis is based on methods presented in a number of scientific articles, which will be dealt with below. LÄS MER