Essays about: "asset pricing anomalies"

Showing result 6 - 10 of 22 essays containing the words asset pricing anomalies.

  1. 6. Replicating the retailers' trading imbalance anomaly : A quantitative study about excess return opportunities on Swedish Small Cap listed firms

    University essay from Uppsala universitet/Företagsekonomiska institutionen

    Author : Erik Kroon; Tom Karlsson; [2021]
    Keywords : retailers; rrading; imbalances; anomaly; anomalies; replicating; broker statistics; asset pricing models; CAPM; Fama and MacBeth;

    Abstract : Previous research conducted on the US markets has found that retailers' trading imbalances can contribute to excess return opportunities, especially on Small Cap stocks. Therefore, we argue that this can be seen as an anomaly. However, anomalies that are found historically may not tell the whole truth. READ MORE

  3. 7. Myth Busted: Stock Return Anomalies Revisited

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Alma Friberg; William Hu; [2021]
    Keywords : asset pricing; cross-sectional returns; anomalies; p-hacking; publication bias;

    Abstract : Research has uncovered over 450 anomaly factors that exhibit stock return predictability. However, after anomalies are published and studied in successive literature, the return predictability often seems to attenuate or disappear. READ MORE

  4. 8. Size and Seasonality : Using Enterprise Value and the January effect to Investigate the Size effect on the Swedish stock market 2000-2019 .

    University essay from Jönköping University

    Author : Martin Djerf; August Lundgren; [2020]
    Keywords : Size effect; January effect; Enterprise Value; Market anomalies; Efficient Market Hypothesis; Fama and French three-factor model;

    Abstract : In 1981, Banz discovered evidence suggesting that small-cap firms outperform large-cap firms when considering risk-adjusted returns. Banz (1981), called this the “size effect” and raised concerns regarding the ability of current asset pricing models to set accurate prices for assets. READ MORE

  5. 9. Industry Anomalies: An examination of asset pricing anomalies through an industry-specific framework

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Kristiyan Denev; Aleksandar Strinic; [2020]
    Keywords : Industry returns; Asset pricing; Anomalies; Industry Factors; Investment strategies;

    Abstract : The finance literature has discovered a large number of anomalies in the cross-section of stock returns over the past three decades. This thesis examines whether some of the most robust anomalies also appear within industries, and whether some are more prominent than others within specific industry sectors. READ MORE

  6. 10. 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