Essays about: "Cross-section of returns"

Showing result 11 - 15 of 40 essays containing the words Cross-section of returns.

  1. 11. Modeling the evolution of market uncertainty- Hedge Fund returns and Volatility of Aggregate Volatility within a dynamic perspective

    University essay from Göteborgs universitet/Graduate School

    Author : Annalisa Caros; [2019-07-02]
    Keywords : ;

    Abstract : This paper investigates, in a dynamic perspective, whether uncertainty about equity market returns can have implications on hedge fund portfolio decisions over time. Therefore, the thesis wants to ascertain if the risk originated by that uncertainty is an explanatory factor for cross-sectional differences in returns over time. READ MORE

  3. 12. The predictive power of stock style: size, value-growth orientation and the shape of the future return distribution

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Eoin Gallagher; Dmitry Tanazhko; [2019]
    Keywords : Return predictability; Stock size; Stock valuation; Skewness; Morningstar;

    Abstract : While there has been extensive research trying to explain the variability in the cross-section of expected stock returns, the predictability of other shape characteristics of the future return distribution is a less studied subject. This thesis investigates the relationship between the size and value-growth orientation of stocks (as measured according to Morningstar) and the shape parameters of their future returns. READ MORE

  4. 13. The effects of Environmental, Social and Governance measures on the cross section of stock return, a compensation for risk or mispricing? Evidence from the Swedish stock market

    University essay from

    Author : Ludvig Annér; Nora Jakobsson van Stam; [2018-08-31]
    Keywords : ;

    Abstract : There is a lack of uniformity throughout the literature regarding the effects of socially responsible investing. By implementing a Fama-MacBeth style regression with the Fama French three factors and the momentum factor, extended with several detailed environmental, social and governance scores the lack of uniformity of these effects are confirmed. READ MORE

  5. 14. Macroeconomic forces behind underpricing

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Andrea Tugnoli; Julian Hüfner; [2018]
    Keywords : initial public offering; underpricing; macroeconomic variables; cross-section approach; unconventional monetary policy; IPO underpricing; Financial crisis; Business and Economics;

    Abstract : The thesis empirically investigates the question whether there is an influence of macroeconomic forces to initial public offering (IPO) underpricing. In addition it tries to find whether unconventional monetary policy has also an impact on underpricing. READ MORE

  6. 15. 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