Essays about: "volatility anomaly"
Showing result 1 - 5 of 14 essays containing the words volatility anomaly.
-
1. Exploring the Idiosyncratic Volatility Anomaly in the Swedish Stock Market: An Empirical Analysis of its Impact on Returns
University essay from Göteborgs universitet/Graduate SchoolAbstract : We examine the cross-sectional relationship between idiosyncratic volatility relative to the Fama-French three factor model and expected stock returns. We find that portfolios containing the firms with the lowest idiosyncratic risk offers excess returns in relation to the prediction of the Fama-French three factor model, while those with the highest idiosyncratic risk do not. READ MORE
-
2. Revisiting the Idiosyncratic Volatility Puzzle and MAX Effect in European Equity Markets
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : In light of traditional financial theory's argument that firm-specific risk should not impact future returns, the findings of the Idiosyncratic Volatility (IVOL) puzzle, as well as the Maximum Daily Returns (MAX) effect, have sparked a vibrant academic debate. Using data from January, 1993, to December, 2022, this paper presents European aggregate and country-level evidence at the intersection between the two asset pricing anomalies. READ MORE
-
3. The Low Volatility Anomaly in Sweden and its Presence During the Covid-19 Pandemic
University essay from Göteborgs universitet/Företagsekonomiska institutionenAbstract : Investing in the stock market has interested people for a long time as the hope to generate high returns has been an incentive to risk one’s money. From this argumentation has a general relationship between risk-and-return been created. READ MORE
-
4. Enhanced Risk-Adjusted Returns Through Momentum Adaptations - Analysis on Momentum Strategies in the Nordic Stock Market
University essay from Göteborgs universitet/Graduate SchoolAbstract : Momentum strategies where one buys past winners and sells past losers are one of the most persistent stock market anomalies, showcasing abnormal returns across different markets, asset classes and time periods. Nevertheless, price momentum has been shown by the financial literature to possess considerable hazards, such as high volatility and crash risks. READ MORE
-
5. The Beta Anomaly in Recessions: Revisiting Beta's role in the Beta Anomaly
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : In this thesis, we extend upon existing research on the beta anomaly by investigating beta's role in the anomaly. This is done by studying the anomaly during recessions, where beta-driving variables such as leverage constraints likely are affected. READ MORE
