Sökning: "idiosyncratic return volatility"

Visar resultat 11 - 14 av 14 uppsatser innehållade orden idiosyncratic return volatility.

  1. 11. Idiosyncratic Risk and Expected Stock Returns: An Empirical Investigation on the GIPS Countries

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

    Författare :Nadir Luvisotti; [2013]
    Nyckelord :Idiosyncratic Risk; CAPM; Fama-French three factor model; GIPS equity markets;

    Sammanfattning : The thesis aims to provide a framework for understanding how the idiosyncratic risk (IVOL) may affect the returns of individual stocks in the context of the Capital Asset Pricing Model and the Fama-French three factor model. We examine the Greek, Italian, Portuguese and Spanish (GIPS) Equity Markets. LÄS MER

  3. 12. Pricing of Idiosyncratic Risk in the Nordics

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

    Författare :Nicolas Mcbeath; Christoffer Ask; [2012]
    Nyckelord :Idiosyncratic risk; Volatility; CAPM; Fama-French three factor model; Nordic equity markets;

    Sammanfattning : We examine the Nordic equity markets during 1992-2011 for the pricing of idiosyncratic risk relative to the CAPM and the Fama-French three factor model. Classical financial theory predicts irrelevance of idiosyncratic volatility (IVOL) for expected returns, while contending theories of undiversified investors and theories from the field of behavioural finance predict a positive relationship. LÄS MER

  4. 13. The Idiosyncratic Volatility Puzzle: Further Evidence from the European Equity Market

    Magister-uppsats, Lunds universitet/Företagsekonomiska institutionen

    Författare :Johan Wessman; Erik Rostedt; [2011]
    Nyckelord :Market anomaly; idiosyncratic volatility; asymmetric volatility; asset pricing; panel data; Management of enterprises; Företagsledning; management; Business and Economics;

    Sammanfattning : We do not find clear evidence of an idiosyncratic volatility puzzle on the three markets. Our models are inconclusive with a negative risk premium for the time series portfolio based regression model while the premium is positive in the panel data model. LÄS MER

  5. 14. The Impact of Institutional Ownership on Idiosyncratic Volatility: A study of Swedish companies listed on the OMX 2004-2007

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

    Författare :Klas Landelius; Pontus Jörnhagen; [2008]
    Nyckelord :Volatility; Idiosyncratic Volatility; Institutional Owners; Ownership;

    Sammanfattning : How does idiosyncratic volatility relate to the proportion of institutional ownership in a company? This thesis investigates the question by running cross-sectional regressions, using panel data on Swedish firms included in OMX Mid Cap and Large Cap between the years 2004 and 2007. We start by constructing a measure of idiosyncratic volatility. LÄS MER