Essays about: "Alpha and Stockholm Stock Market."

Showing result 11 - 15 of 21 essays containing the words Alpha and Stockholm Stock Market..

1. 11. Portfolio Strategies in Bad Times

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Johan Ytterfors; Oskar Fröberg; [2018]
   Keywords : Portfolio strategy; Bad times alpha; Investing in recessions; Investor mentality;

   Abstract : Institutional and private investors are being overwhelmed by information and theory. The difficulty lies in identifying what truly improves returns and reduces risk. In the midst of all this noise, the worry of an upcoming downturn following the recent years of strong market returns is brewing for the risk averse investors. READ MORE

3. 12. 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

4. 13. Social performance and market performance of stocks : (Evidence from public listed firms in Sweden)

   University essay from Umeå universitet/Företagsekonomi

   Author : Enideg Ayitenew Minass; Daouda Konipo; [2016]
   Keywords : Social performance; stock market performance; average social score; risk adjusted return; volatility; alpha; OMX Stockholm; Sweden;

   Abstract : The increasing importance of corporate social responsibility with practitioners is having huge attention in the academic literature. A growing study examines the reasons why firms engage in corporate social responsibility, and how it relates to financial performance of firms. READ MORE

5. 14. What Are the Effects of Security Selection and Market Timing on Mutual Fund Performance? A Study of Portfolio Returns and Manager Activity in Sweden

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Marcus Klinga; Henrik Larsson; [2016]
   Keywords : Mutual Fund Activity; Tracking Error; Security Selection; Market Timing;

   Abstract : We study the activity of Swedish equity mutual funds by splitting fund manager activity into two different components: market timing and security selection. This is done through a decomposition of the Tracking Error, a method that requires data of the portfolio and index returns exclusively. No portfolio holdings data is needed. READ MORE

6. 15. Do Bold Prophecies Lead to Higher Profits?

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Adrian Brun; Carl Oscar Nyh; [2016]
   Keywords : Stock recommendations; Sell-side analysts; Herding; Regulation Fair Disclosure;

   Abstract : We find that non-herding ("bold") recommendations - defined as those deviating from last day's consensus by more than one level - had a greater investment value than herding recommendations prior to Regulation Fair Disclosure, which became effective in October, 2000. Indeed, a value-weighted portfolio that purchased S&P 100 companies with the most favourable consensus, made up of bold (all) recommendations, yielded a statistically significant (insignificant) annual abnormal gross return of 7. READ MORE