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Showing result 1 - 5 of 21 essays matching the above criteria.

1. 1. Is there a carbon emission-return relation? Exploring the existence of a carbon emission return relation in the Swedish stock market

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Gustaf Kaddik; William Lundell; [2023]
   Keywords : emission premium; emission alpha; carbon emissions; emission intensity; stock returns;

   Abstract : We use portfolio sorting and Fama-Macbeth regressions to investigate the potential relation between carbon emissions and stock returns in the Swedish stock market, a country with stringent carbon regulations and taxes. We research the Swedish stock market between 2010-2019 and do not find evidence of such a relationship. READ MORE

3. 2. Examining the Existence of the Characteristic Liquidity Premium: A Study of the U.S. Stock Market

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Joel Ejdesjö; Maxime Karl Marcel Rundström; [2022]
   Keywords : Characteristic liquidity premium; liquidity dimension; low-frequency effective spread; transaction cost mitigation; net returns alpha;

   Abstract : This paper examines the existence of a characteristic liquidity premium among U.S. stock returns between January 1964 and December 2021 after adjusting for transaction costs. Liquidity is estimated using four different measures in order to capture different dimensions of liquidity (price impact, trading cost, trading speed, and trading quantity). READ MORE

4. 3. The (in)efficiency of Financial Markets : Applying the Relative Strength Strategy on the Swedish Large cap Exchange

   University essay from Mälardalens högskola/Akademin för ekonomi, samhälle och teknik

   Author : Rickard Varli; [2021]
   Keywords : Financial markets; Sweden; Efficient Markets; Momentum Strategy; Historical Returns; Risk;

   Abstract : This paper examines the efficiency of the Swedish stock market, specifically the Large cap list of the Stockholm stock exchange. This is achieved by implementing the relative strength method of investing during the decade of 2010-2020 and evaluate the results in contrast to the Efficient Market Hypothesis. READ MORE

5. 4. The ESG Dilemma

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Marcus Galli; Lamin K Darboe; [2021]
   Keywords : Sustainable Investing; SRI; ESG;

   Abstract : Investing with the purpose of doing good has been gaining a lot of momentum in the past few years. Leading to increased investments in exchange traded products, mutual funds and equities with higher levels of ESG score both in developed and developing countries. READ MORE

6. 5. A Comparison of Asset Pricing Models on Nordic Markets

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Felix Gardtman; Alexander Käll; [2020]
   Keywords : Asset pricing model; Five-factor model; Three-factor model; Market-premium; Size-premium;

   Abstract : This paper applies the Fama and French five-factor model to Nordic stock markets, comparing its performance to the Fama and French three-factor model and CAPM. The five-factor model is not found to outperform the three-factor model or CAPM. READ MORE