Sökning: "market-adjusted return model."

Visar resultat 1 - 5 av 19 uppsatser innehållade orden market-adjusted return model..

1. 1. The illiquidity exposure factor: An overlooked driver of mutual fund performance

   Master-uppsats, Göteborgs universitet/Graduate School

   Författare :Jakob Häger; Tim Hansson; [2023-06-29]
   Nyckelord :Illiquidity; liquidity; mutual funds; fund performance; factor models; alpha;

   Sammanfattning : This paper examines if Swedish-focused mutual funds with more illiquid holdings produce higher alpha. By extending the classic Fama and French five-factor model, we pinpoint the effect of illiquidity in underlying holdings on mutual fund alpha generation through a two-step regression model with data between 2019-2022. LÄS MER

3. 2. Accelerate your returns? An examination of Earnings Acceleration and a range of other earnings-related stock market anomalies - The Swedish Case

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

   Författare :Hugo Karlsson; Majuran Jeganmohan; [2020]
   Nyckelord :Earnings Acceleration; Stock Market Anomalies; Market Efficiency; Fundamental Analysis; Earnings;

   Sammanfattning : In this study, we aim to explore whether an investor can use earnings acceleration (EA), defined as quarterly change in earnings growth, to construct a viable trading strategy that is able to separate future winners and future losers on the Swedish stock market. Using a sample from 2004 to 2016, we document that a trading strategy that goes long in top decile EA stocks and short in bottom decile EA stocks is unable to generate abnormal returns in both the month- and quarter-long windows. LÄS MER

4. 3. Piotroski som investeringsstrategi : Test och utveckling av F_SCORE

   Kandidat-uppsats, Högskolan Kristianstad/Fakulteten för ekonomi

   Författare :John Johannesson; Jacob Svensson; [2019]
   Nyckelord :Fundamental analysis; value stocks; efficient market hypothesis; Piotroski; F_SCORE; Fundamental analys; värdeaktier; effektiva marknadshypotesen; Piotroski; F_SCORE;

   Sammanfattning : This paper uses a fundamental investment strategy model developed by Piotroski (2000), called F_SCORE. The model uses accounting-based ratios applied for portfolios of high book-to-market firms. The aim of the study is to test the model for the US stock market during the years 1998-2015, as well as to develop it. LÄS MER

5. 4. Insynshandel – där abnorm avkastning är abrupt! : En studie om den lagliga insynshandeln på företagen listade på First North

   Kandidat-uppsats, Södertörns högskola/Företagsekonomi

   Författare :Alexis Sapthawisukphon; Haidar Darab; [2017]
   Nyckelord :Insider trading; abnormal return; event study; First North; efficient market hypothesis; behavioural finance; asymmetrical information; signalling theory; market-adjusted return model.; Insynshandel; abnorm avkastning; eventstudie; First North; effektiva marknadshypotesen; beteendebaserad finansiering; informationsasymmetri; signaleringsteori; marknadsjusterad avkastningsmodell.;

   Sammanfattning : Purpose: The purpose of the study is to investigate whether executives can earn abnormal return by purchasing their own stocks and establish an understanding of possible aspects. Method: In order to observe if abnormal return exists on insider buy-transactions, a method triangulation with deductive approach has been made. LÄS MER

7. 5. Can Investors Benefit from Using a Simple Fundamental-Based Stock Selection Strategy?

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

   Författare :Simon Lindström; Hugo Karlsson; [2017]
   Nyckelord :Piotroski s F-Score; Fundamental Analysis; Efficient Markets; Abnormal Returns; Market Mispricing;

   Sammanfattning : This paper examines Piotroski's (2000) fundamental-based F-Score strategy, on the Stockholm Stock Exchange between 1996 and 2017, to investigate: (1) if the strategy can identify future over- and underperformers, and (2) if this information constitute a market inefficiency over the most recognized common risk factors. We find that the strategy is overall successful, with an average annual return of 17 percent and a mean market-adjusted return of 8 percent. LÄS MER