Essays about: "Aggregate stock market"

Showing result 1 - 5 of 34 essays containing the words Aggregate stock market.

1. 1. Flight to climate: liquidity commonality in brown equities

   University essay from Stockholms universitet/Företagsekonomiska institutionen

   Author : Haiping Yu; [2023]
   Keywords : ESG; ESG Investing; Climate investing; Liquidity Commonality; Systematic Liquidity Risk;

   Abstract : Emerging ESG studies have established a negative equilibrium correlation between ESG factors and stock returns in an economy predominately influenced by investors with nonpecuniary preference over high ESG credentials. However, little research has delved into a potential systematic liquidity risk phenomenon associated with aggregate trading activities of ESG-motivated investors who share a common nonzero ESG preference component in their utility function. READ MORE

3. 2. Ferdinand, the Unpredictable Bull : Cash Flow Distribution Behavior During U.S. Recessions - An Event Time Analysis

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Erik Gunnarsson; Tom Mueffelmann; [2023]
   Keywords : Business Cycles; Event Time Study; Predictability of the Price-Dividend Ratio; Aggregate Dividends; Net Repurchases;

   Abstract : The paper employs an event study approach to investigate the behavior of aggregate cash flow distributions and stock prices in the U.S. stock market around recessions. Aggregate prices anticipate low aggregate dividend and economic growth until adjusting for the diverse time measurement methodologies. READ MORE

4. 3. Government Interventions During a Crisis: An Event Study of the Extraordinary Budget Announcements' Effect on the Swedish Stock Market

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Haris Badakhsh; Jean Pierre Saliba; [2022]
   Keywords : Fiscal policy; Stock market; COVID-19; Stimulus package; Event study;

   Abstract : The impact of several stimulus packages implemented by the Swedish government during the COVID-19 pandemic on the Swedish stock market is studied in this paper. An event study methodology is used to investigate the abnormal returns of Swedish firms during four announcements related to the stimulus packages. READ MORE

5. 4. Safe Haven Assets During the COVID-19 Pandemic : a study of safe haven aspects of gold and Bitcoin in U.S. financial markets

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

   Author : Erik Melin; Albert Pettersson; [2022]
   Keywords : TGARCH; GARCH; ARCH-LM; COVID-19; Gold; Bitcoin; Safe Haven; Hedge; Diversifier;

   Abstract : This paper explores the possibility of gold and Bitcoin acting as safe haven investments during the Corona pandemic. To answer the research question the authors use OLS-, GARCH-, and TGARCH-models. The S&P 500 stock- and S&P U.S. READ MORE

6. 5. Performance of Small- and Large-cap stock portfolios- The importance of market anomalies across business cycles

   University essay from Göteborgs universitet/Graduate School

   Author : Erik Hulth; [2021-06-30]
   Keywords : Stock performance; Market anomalies; Asset pricing; Portfolio sorting techniques; Factor-portfolio sorting techniques; Value effect; Size effect; Momentum effect; Temporal influences; Business cycles; GDP-gap; Single-and Multi- Factor models; CAPM; Fama-French Three-Factor model; Carhart Four-Factor model; Risk-adjusted equity returns; Sharpe Ratio; Jensen´s alpha; NASDAQ OMX and NYSE;

   Abstract : This Master´s thesis investigated the importance of the market anomalies size (market capitalization), value (Book-to-Market ratio) and momentum (lagged short-term momentum) for equity returns of small- and large-cap composite stock portfolios. The study focused on two contrasting stock markets (NASDAQ OMX and NYSE) across domestic business cycles over the time-period 2006 to 2021. READ MORE