Sökning: "zero-investment strategy"

Visar resultat 1 - 5 av 6 uppsatser innehållade orden zero-investment strategy.

  1. 1. Investor Attention and Return Anomalies: Comparing Direct and Indirect Proxies of Investor Attention and Their Effect on the Swedish Stock Market

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

    Författare :Alfred Eriksson; Elizabeth Zhmud; [2020]
    Nyckelord :Return anomalies; Investor attention; Media coverage; Google SVI; Informational frictions;

    Sammanfattning : We compare two proxies for investor attention, media coverage, measured as the number of articles written about a firm, and relative Google Search Volume Index (SVI), and investigate their role in explaining return anomalies on the Swedish stock market. Using a media-based zero-investment trading strategy we find significant abnormal returns, unexplained by known risk factors and robust to common return anomalies. LÄS MER

  2. 2. Macroeconomic exposure of Swedish firms’ revenue and its impact on stock returns

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Eric Tillaeus; Niklas Sköld; [2017]
    Nyckelord :Geographical segment data Macroeconomic exposure Stock returns; Business and Economics;

    Sammanfattning : Previous research suggests that by examining the regional origins of revenues and the expected economic growth in regions, supra-normal returns may be achieved by creating zero investment portfolios. Nevertheless, such previous research examines countries with low export dependence and a high internal demand or uses data from a number of countries with di↵erent economic dependencies. LÄS MER

  3. 3. A Value Relevant Fundamental Investment Strategy : The use of weighted fundamental signals to improve predictability

    Kandidat-uppsats, Företagsekonomiska institutionen

    Författare :Martin Eliasson; Khawar Malik; Benjamin Österlund; [2011]
    Nyckelord :Fundamental analysis; Financial statement analysis; Financial analysis; High book-to-market; quantitative analysis; statistical regression study; investment strategy; longitudinal study; NYSE; New York Stock Exchange; Nasdaq; Piotroski; Rados and Lovric; wieghted and modified Piotroski F_score; F_score; B M investment strategy; fundamental signals correlation; return correlation; rolling window investment strategy; Correlations during macroeconomic up and down periods; historical performance of fundamental signals; Piotroski s F_score; fundamental signals; Fundamental analys; en hög book-to-market investeringsstrategi; finansiell analys; Piotroski; Piotroskis F_score; Rados och Lovric; modifierat F_score; undervärderade företag; Användningen av viktade fundamentala signaler för att förbättra förutsägbarheten; fundamentala signaler;

    Sammanfattning : The aim of this study is to investigate the possibility to improve the investment model defined in Piotroski (2000) and the subsequent research carried out on this model. Our model builds further upon the original fundamental score put forth by Piotroski. LÄS MER

  4. 4. Sector Neutral Contrarian Strategies: - A study of short-term contrarian strategies in the Dow Jones STOXX 600

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

    Författare :Christoffer Geijer; Christofer Nordlander; [2009]
    Nyckelord :Short-term contrarian strategy; price reversals; industry effect;

    Sammanfattning : This paper studies short-term contrarian strategies in the Dow Jones STOXX 600 between 1993 and 2008 taking on a sector neutral approach. The contribution to the literature is two folded. First, we investigate short-term contrarian strategies on an index covering 18 European countries. LÄS MER

  5. 5. Profitability of Momentum Strategies on the Eurozone Market

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Andrei Sandu; Anastasia Korneva; [2009]
    Nyckelord :momentum; Winner and Loser portfolios; zero-investment strategy; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

    Sammanfattning : This paper investigates the profitability of the zero-cost strategies (Winner-Loser) on the Eurozone market for the time period 1999-2009. We find that the Winner portfolio outperforms the Loser portfolio by, on average, 0,8% per month when we combine formation and holding periods of 3, 6, 9 and 12 months. LÄS MER