Essays about: "Cross-section of returns"
Showing result 1 - 5 of 40 essays containing the words Cross-section of returns.
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1. How Does the Three-factor Model Perform and What Explains its Performance? Empirical tests on Swedish stock portfolios
University essay from Lunds universitet/Nationalekonomiska institutionen; Lunds universitet/Statistiska institutionenAbstract : In this study the three-factor model of Fama and French (1992; 1993) is evaluated on portfolios of Swedish stocks. Both a cross-section and time series approach are used to evaluate the model. The results show that beta, size, and book-to-market are significant variables in explaining excess returns of Swedish stock portfolios. READ MORE
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2. Common risk factors in the cross-section of cryptocurrency returns An empirical study on different types of cryptocurrency anomalies: size, momentum, volatility and trend
University essay from Göteborgs universitet/Graduate SchoolAbstract : This paper identifies three common risk factors in the returns on cryptocurrencies. The three common risk factors are the market factor, size factor, and momentum factor. READ MORE
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3. 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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4. Impact of Climate Change on Equity Markets
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : Climate change and its effects on our daily life are one of the most visited research topics in the last few years. A growing number of this literature focuses on the impact of climate change on the economy and financial markets, and the threat it may pose on long-term investments. READ MORE
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5. Spaculative Sentiment - An Analysis of the Impact of Investor Sentiment on SPAC Activity and Performance
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : SPACs have experienced a puzzling surge in popularity despite academics documenting their severe historic underperformance. This paper adds a new layer to previous research by investigating whether market sentiment can explain SPAC activity and performance. We find that SPAC activity rises when investor sentiment falls. READ MORE