Essays about: "Book-to-Market"

Showing result 16 - 20 of 64 essays containing the word Book-to-Market.

  1. 16. The Swedish equity market: Anomalies and pricing contributions using portfolio sorting techniques

    University essay from Göteborgs universitet/Graduate School

    Author : Max Hulth; Gustav Nilsson; [2018-07-04]
    Keywords : Asset pricing; Anomalies; Portfolio sorting; CAPM; Fama French three-factor model; Carhart four-factor model;

    Abstract : The Capital Asset Pricing Model (CAPM) is a widely used tool to describe the risk-return relationship for stocks. Several studies focusing on asset pricing have during the last decades indicated that the one-factor model CAPM is associated with limitations to explain the cross-sectional and time variation in expected stock returns. READ MORE

  3. 17. IPO UNDERPRICING IN THE TECH SECTOR: IMPACT OF THE PROSPECTUS SUMMARY VARIABLES

    University essay from Göteborgs universitet/Graduate School

    Author : André Ricardo da Fonseca Gonçalves; [2018-07-04]
    Keywords : IPO; underpricing; prospectus; tech; book-to-market; gross proceeds; underwriter spread; dual-class shares; underwriter reputation;

    Abstract : Aiming to provide guidance to researchers regarding publicly available factors associated with tech IPO underpricing, this thesis investigates the impact of the information contained on the prospectus summary on underpricing. In a sample of 131 tech IPOs listed in the U.S. READ MORE

  4. 18. Testing Piotroski's F_SCORE on the U.S. Stock Market

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Xiangyu Mo; Yuzi Wang; [2018]
    Keywords : Piotroski; Abnormal Returns; Market Efficiency; U.S. Stock Market;

    Abstract : Piotroski (2000) generates a fundamental investing method built upon F_SCORE to identify financially strong firms. In this paper, we investigate whether Piotroski's simple accounting- based fundamental method could still be applied to the U.S. market throughout 12 years from 2004 to 2015. READ MORE

  5. 19. Financial integration and international asset pricing of Chinese stock markets

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Ho Wai NG; Weiwei Zhu; [2018]
    Keywords : Financial integration; International asset pricing; Emerging Market Finance;

    Abstract : Our analysis draws several meaningful findings. First, we find that there is predictability of Chinese stock market return on latent variables which include common and local specific information. We also find that the conditional volatility and local price of risk are time varying for China. READ MORE

  6. 20. In search for the reputational investment factor

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Birger Myrberg; David Dreja; [2018]
    Keywords : Factor investing; Smart beta investing; Corporate reputation; Performance forecast; Risk-adjusted returns;

    Abstract : 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