Essays about: "Fama-MacBeth two-step regression"

Found 3 essays containing the words Fama-MacBeth two-step regression.

  1. 1. Does Quality Matter?

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Lovisa Jalrup; Sawan Patel; [2020]
    Keywords : Investment strategy; Small-Minus-Big SMB ; size effect; firm quality; Fama-MacBeth two-step regressions.; Business and Economics;

    Abstract : The purpose of this study is to investigate if there is any size effect in the Swedish stock market between April 2010 and December 2019, and if controlling for firms' quality improves the performance of a size-based investment strategy. The risk premium of firms with smaller market value of equity has since its discovery been under heavy scrutiny. READ MORE

  3. 2. The Default Risk Puzzle - Evidence from the Swedish market

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Mia-Melina Söderlind; Sara Selin; [2019]
    Keywords : Default risk; Altman s Z -score; Systematic risk; Fama-MacBeth two-step regression; Stockholm Exchange; Business and Economics;

    Abstract : Default risk is a major source of potential losses to equity investors and the effect of default risk on stock returns have therefore been widely examined by several papers. However, whether there exists an anomalous significant relationship between default risk and stock returns is a rather unexplored subject on the Swedish market. READ MORE

  4. 3. Stock Valuation, Dividends and Learning Through Age: how learning about a firm and its dividend policy affects its valuation

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Yousef Kaddoura; Marius Rrapushaj; [2018]
    Keywords : Market-to-Book Ratio; Firm value; Learning effects; Dividends; Uncertainty; Over optimism; Fama-MacBeth.; Business and Economics;

    Abstract : This paper looks into how learning about firms and their dividend policy affects their valuation, while comparing the results between North American and German firms. Learning is observed through the age of a firm,where the market-to-book ratio (M/B) is predicted to decline over a firm’s lifespan. READ MORE