Essays about: "Cross-section of returns"

Showing result 1 - 5 of 40 essays containing the words Cross-section of returns.

  1. 1. How Does the Three-factor Model Perform and What Explains its Performance? Empirical tests on Swedish stock portfolios

    University essay from Lunds universitet/Nationalekonomiska institutionen; Lunds universitet/Statistiska institutionen

    Author : Daniel Björck; [2023]
    Keywords : Three-factor model; stock returns; Swedish stocks; CAPM; Business and Economics;

    Abstract : In this study the three-factor model of Fama and French (1992; 1993) is evaluated on portfolios of Swedish stocks. Both a cross-section and time series approach are used to evaluate the model. The results show that beta, size, and book-to-market are significant variables in explaining excess returns of Swedish stock portfolios. READ MORE

  3. 2. Common risk factors in the cross-section of cryptocurrency returns An empirical study on different types of cryptocurrency anomalies: size, momentum, volatility and trend

    University essay from Göteborgs universitet/Graduate School

    Author : Luo Dan; Andersson Sebastian; [2021-06-30]
    Keywords : ;

    Abstract : This paper identifies three common risk factors in the returns on cryptocurrencies. The three common risk factors are the market factor, size factor, and momentum factor. READ MORE

  4. 3. The Performance of Stocks Earning Extreme Single-Day Returns: Evidence from Sweden

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Dominik Schleuss; Tavish Gantz; [2021]
    Keywords : MAX Effect; Extreme returns; Cross-section of returns; Lottery-like payoffs; Behavioral Finance;

    Abstract : In 2011, Bali et al. presented evidence that stocks with extreme one and multi day-returns significantly underperform stocks with less extreme returns in the following month. They attributed this to investors exhibiting a preference for stocks with lottery-like payoffs. READ MORE

  5. 4. Impact of Climate Change on Equity Markets

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Ensari Eroglu; Anuj Agrawal; [2021]
    Keywords : climate change; climate vulnerability; climate readiness; fixed effects; ND-GAIN;

    Abstract : Climate change and its effects on our daily life are one of the most visited research topics in the last few years. A growing number of this literature focuses on the impact of climate change on the economy and financial markets, and the threat it may pose on long-term investments. READ MORE

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

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

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

    Abstract : 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. READ MORE