Essays about: "Alexander Helmy"

Found 2 essays containing the words Alexander Helmy.

1. 1. Beyond Rational - A study on the drivers of the beta anomaly in Sweden

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Karl Hellgren; Alexander Helmy; [2017]
   Keywords : Beta anomaly; Betting against beta; Lottery demand; Leverage constraints; Asset pricing;

   Abstract : Inspired by previous findings that low (high) beta stocks earn abnormally high (low) returns we set out to explore this relation, often called the beta anomaly. We prove that the beta anomaly is present in our sample of Swedish stocks. The alpha generated by a betting against beta portfolio that exploits the beta anomaly is 1.71% per month. READ MORE

3. 2. The MAX effect and what drives it - Evidence from the Swedish stock market

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Alexander Helmy; Karl Hellgren; [2015]
   Keywords : MAX effect; ; lottery-type stocks; cross-sectional return predictability; individual investor purchasing behavior;

   Abstract : Inspired by previous findings on the cross-sectional relationship between extreme positive daily stock returns and subsequent negative returns in the US and euro-zone markets, we search for its presence in the Swedish market. We argue that this effect, known as the MAX effect, is mainly driven by individual investors seeking lottery-like payoffs. READ MORE