Essays about: "Book-to-Market Effect"
Showing result 1 - 5 of 16 essays containing the words Book-to-Market Effect.
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1. Performance of Small- and Large-cap stock portfolios- The importance of market anomalies across business cycles
University essay from Göteborgs universitet/Graduate SchoolAbstract : 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
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2. The Performance of Stocks Earning Extreme Single-Day Returns: Evidence from Sweden
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : In 2011, Bali et al. presented evidence that stocks with extreme one and multi day-returns significantly underperform stocks with less extreme returns in the following month. They attributed this to investors exhibiting a preference for stocks with lottery-like payoffs. READ MORE
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3. The Value of Dividends : The effect of dividend exposure on stock returns
University essay from Uppsala universitet/Företagsekonomiska institutionenAbstract : This paper aims to examine if firms listed on Nasdaq Stockholm with dividend exposure yield higher risk-adjusted returns than firms without dividend exposure. Using a data set consisting of observations between 2000-2017 we test the difference in mean risk-adjusted return, measured by the Sharpe ratio, between securities with different levels of dividend exposure. READ MORE
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4. The Default Risk Puzzle - Evidence from the Swedish market
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : Default risk is a major source of potential losses to equity investors and the effect of default risk on stock returns have therefore been widely examined by several papers. However, whether there exists an anomalous significant relationship between default risk and stock returns is a rather unexplored subject on the Swedish market. READ MORE
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5. In search for the reputational investment factor
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : This paper looks at corporate reputation and its effect on future firm performance using the Reputation Quotient (RQ) produced by Harris Interactive Inc. as proxy for reputation. READ MORE