Essays about: "asset pricing anomalies"

Showing result 11 - 15 of 22 essays containing the words asset pricing anomalies.

1. 11. Performance Evaluation of Small- and Large-cap stocks - The importance of size effects on the Swedish equity market

   University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

   Author : Andreas Carlsson; Erik Hulth; [2019-02-20]
   Keywords : Performance Evaluation; Asset pricing; Size Effect; Sharpe Ratio; Treynor ratio; Jensen´s alpha; Risk-Adjusted Returns; Fama-French Three-Factor Model; Carhart Four-Factor Model; Multi-factor models; Single-factor model;

   Abstract : This Bachelor´s thesis investigated the performance of small-cap stocks and large-cap stocks on the Swedish equity market (NASDAQ OMX) over the years 2011 to 2016. A number of studies focused on asset pricing have during the last decades indicated that the original Capital Asset Pricing Model (CAPM) is misspecified and has limited power to explain cross-sectional and temporal variations in expected equity returns. READ MORE

3. 12. Utilizing Machine Learning for Trading Algorithms Exploiting the Time Series Momentum Anomaly

   University essay from Lunds universitet/Matematisk statistik

   Author : Martin Odenbrand; Sebastian Svensson Bromert; [2019]
   Keywords : Machine learning; time series momentum; moving average crossover; MACD; Hodrick-Prescott filter; random forest; pricing anomaly; computational finance; Mathematics and Statistics;

   Abstract : Momentum or trend following investing refers to trading strategies constructed around the idea that in financial markets, the current trend will, more often then not, prevail. In the context of asset prices, this means that previous returns or the price development of an asset is indicative of similar future returns and price development. READ MORE

4. 13. Combining Value and Momentum Strategies in the Swedish Stock Market : How market anomalies can be exploited to outperform stock market index

   University essay from Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO)

   Author : Maximiliam Nilsson; Gottfrid Bylund Månsson; [2019]
   Keywords : Momentum Strategies; Value Strategies; Efficient Market Hypothesis; Market Anomalies; Capital Asset Pricing Models;

   Abstract : Value and momentum strategies have been heavenly researched in financial academic literature. In this essay, different portfolios based on value and momentum strategies have been constructed to examine if it is possible to exploit market anomalies to outperform market returns. READ MORE

5. 14. “Asset Pricing Anomalies and Factor Trading: an Empirical Analysis on the Swedish Market”

   University essay from Göteborgs universitet/Graduate School

   Author : Federico Sinisi; [2018-07-04]
   Keywords : ;

   Abstract : It is very important for investors to study the dynamics behind the movement of assets’ prices, for this reason there is a wide literature covering the topic relative to Asset Pricing. In this research I study six-teen innovative pricing anomalies to verify whether they are statistically significant and then able to predict returns. READ MORE

6. 15. The Swedish equity market: Anomalies and pricing contributions using portfolio sorting techniques

   University essay from Göteborgs universitet/Graduate School

   Author : Max Hulth; Gustav Nilsson; [2018-07-04]
   Keywords : Asset pricing; Anomalies; Portfolio sorting; CAPM; Fama French three-factor model; Carhart four-factor model;

   Abstract : The Capital Asset Pricing Model (CAPM) is a widely used tool to describe the risk-return relationship for stocks. Several studies focusing on asset pricing have during the last decades indicated that the one-factor model CAPM is associated with limitations to explain the cross-sectional and time variation in expected stock returns. READ MORE