Essays about: "Alpha and Stockholm Stock Market."

Showing result 6 - 10 of 21 essays containing the words Alpha and Stockholm Stock Market..

  1. 6. The Moat of Finance : Does Complexity Reward the Private Investor?

    University essay from KTH/Fastigheter och byggande

    Author : Johan Svanberg; Daniel Max; [2019]
    Keywords : Price to Earning; Price to Book; Dividend Yield; Multi-ratio Strategies; Efficient Market Hypothesis; Modern Portfolio Theory; Excess Returns; Alpha and Stockholm Stock Market.;

    Abstract : This paper evaluates the ability of single and multi-ratio investment strategies, such as P/E, P/B, Magic Formula and Piotroski F-score, to generate excess returns and positive alpha values on the Stockholm Stock Market. Performances of the strategies tested are compared to the Stockholm Stock Market as a whole, also known as the index “OMXSPI”. READ MORE

  3. 7. Combining Value and Quality on the Swedish Equity Market: Does it hold over time?

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Jacob Hesslevik; Victor Wolf; [2019]
    Keywords : Magic Formula; Value Investing; Abnormal Returns; Efficient Market Hypothesis; Portfolio Management;

    Abstract : The ultimate goal of many investors is to achieve alpha. Yet, most of them are unable to do this on average. Strategies achieving anomalous effects relating to e.g. READ MORE

  4. 8. Empirical evidence of stock return predictability using macroeconomic variables

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Jonatan Gustafsson; Carl Ferm; [2018]
    Keywords : Granger Causality; Predictive Regressions; Trading Strategies; Macroeconomic Variables; Repo Rate;

    Abstract : We investigate whether macroeconomic variables can predict returns of the OMXS30 index in the short run, and if an investor can generate abnormal profits from using the variables with significant predictive power. Granger causality tests, along with a predictive OLS regression framework show that the first difference of the repo rate and the log difference in exchange rates significantly Granger cause stock returns on the Swedish market. READ MORE

  5. 9. Momentum in Stock Returns Following Dispersion and Consensus in Analysts' Forecasts

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Amanda Hedlund; Johanna Ingemarson; [2018]
    Keywords : Momentum; Forecast dispersion; Analysts recommendations; Short-selling restraints; Behavioural finance;

    Abstract : Our study shows that it is possible for an investor to employ profitable zero-cost portfolio strategies on the OMX Stockholm Benchmark Index that exploit momentum following analysts' forecasts. The significant alpha of the monthly rebalanced long-short portfolios suggests that the analysts' forecasts momentum should be exploited within a month. READ MORE

  6. 10. How Investor Characteristics Shape Sin-Stock Performance in Europe

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Julia Borgström; Sandra Bergquist; [2018]
    Keywords : Consumption; Investor Characteristics; Religion; Sin Stocks; Welfare;

    Abstract : Whereas the majority of other studies on sin stocks have focused on if there is a sin-stock alpha on a specific geographical market, this paper investigates how and why the sin-stock alpha differs between countries. Specifically, it investigates whether investor characteristics such as welfare, consumption patterns, and religion affect the performance of alcohol, tobacco, and gambling stocks on the European market. READ MORE