Essays about: "Market-Adjusted Returns Model"

Showing result 1 - 5 of 11 essays containing the words Market-Adjusted Returns Model.

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

   University essay from Göteborgs universitet/Graduate School

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

   Abstract : 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. READ MORE

3. 2. IPO Underpricing on small- and microcap companies : A study of first-day returns on Spotlight Stock Market

   University essay from Uppsala universitet/Företagsekonomiska institutionen

   Author : Tim Jörnhammar; Dyar Allaf; [2020]
   Keywords : Initial Public Offerings; IPO underpricing; Spotlight Stock Market; IPO influencing factors; multiple regression model;

   Abstract : Historical evidence suggests that initial public offerings (IPOs), on average, are priced below their intrinsic value. In this paper, we investigate the magnitude of IPO underpricing on small- and microcap companies listed on the stock exchange Spotlight Stock Market, over the period 2012–2019. READ MORE

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

   University essay from Handelshögskolan i Stockholm/Institutionen för redovisning och finansiering

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

   Abstract : 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. READ MORE

5. 4. Macroeconomic forces behind underpricing

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Andrea Tugnoli; Julian Hüfner; [2018]
   Keywords : initial public offering; underpricing; macroeconomic variables; cross-section approach; unconventional monetary policy; IPO underpricing; Financial crisis; Business and Economics;

   Abstract : The thesis empirically investigates the question whether there is an influence of macroeconomic forces to initial public offering (IPO) underpricing. In addition it tries to find whether unconventional monetary policy has also an impact on underpricing. READ MORE

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

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

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

   Abstract : 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. READ MORE