Essays about: "asset pricing anomalies"

Showing result 21 - 22 of 22 essays containing the words asset pricing anomalies.

1. 21. Cross-Section of Stock Returns: : Conditional vs. Unconditional and Single Factor vs. Multifactor Models

   University essay from Handelshögskolan vid Umeå universitet

   Author : Rustam Vosilov; Nicklas Bergström; [2010]
   Keywords : Cross-section of stock returns; asset-pricing model empirical tests; CAPM; Fama-French; conditional asset-pricing models; time-varying beta; time-varying risk; conditional beta; cross-sectional regression; time series regression; financial market anomalies; value premium; size premium; momentum effect;

   Abstract : The cross-sectional variation of stock returns used to be described by the Capital Asset Pricing Model until the early 90‟s. Anomalies, such as, book-to-market effect and small firm effect undermined CAPM‟s ability to explain stock returns and Fama & French (1992) have shown that simple firm attributes, like, firm size and book-to-market value can explain the returns far better than Beta. READ MORE

3. 22. In Search of a Leverage Factor in Stock Returns: An Empirical Evaluation of Asset Pricing Models on Swedish Data

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Beniam Poutiainen; David Zytomierski; [2010]
   Keywords : Asset pricing; CAPM; Carhart; Fama-French; Leverage factor;

   Abstract : Theoretical finance regards leverage as one of the sources of stock return risk, and thus claims that the more levered a firm is, the higher the risk for equity holders and the higher the required rate of return. As asset pricing has matured into an important area of finance, new factors have been incorporated into the CAPM, following observed anomalies in stock returns. READ MORE