Essays about: "Cross-section of returns"

Showing result 21 - 25 of 40 essays containing the words Cross-section of returns.

  1. 21. Growth Expectations, Dispersion of Beliefs and the Cross-Section of Stock Returns

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Simon Ingo Koch; [2016]
    Keywords : Growth expectations; dispersion of beliefs; macroeconomic uncertainty; cross-section of stock returns; omitted variable bias; multicollinearity; Business and Economics;

    Abstract : The present study investigates whether the mean and the standard deviation of real GDP growth forecasts from the ECB Survey of Professional Forecasters (SPF) can help to explain the cross-sectional variation of expected returns in the German stock market. The expected real GDP growth from the SPF can be interpreted as a proxy for expected business conditions, whereas the cross-sectional dispersion of these expectations may serve as a proxy for macroeconomic uncertainty. READ MORE

  3. 22. Analyst Disagreement- A Recipe for Disaster: The Cross-section of Scandinavian Stock Returns

    University essay from Göteborgs universitet/Graduate School

    Author : Robert Wigermo; Viktor Svärd; [2015-07-13]
    Keywords : Differences of opinion; Short sale constraints; Return predictability;

    Abstract : We show that dispersion in analysts’ earnings forecasts is negatively related to future returns on the Scandinavian stock markets. This negative relation is most pronounced for small stocks. READ MORE

  4. 23. Distress Risk - Quality or Junk? Nordic evidence on the ability of distress risk to explain variations in stock returns

    University essay from Handelshögskolan i Stockholm/Institutionen för redovisning och finansiering

    Author : Parham Abuhamzeh; Axel Malgerud; [2015]
    Keywords : Distress Anomaly; Probability of Failure; Cross Section; Asset Pricing Models; Stock Price Reaction;

    Abstract : The risk-return paradigm suggests there should be a positive association between distress risk (i.e. the probability of firm failure) and subsequent excess stock returns. However, we present puzzling evidence suggesting investors are not compensated for taking on additional distress risk. READ MORE

  5. 24. Firm-Specific Variables and Expected Stock Returns - A study on the German Market -

    University essay from Lunds universitet/Företagsekonomiska institutionen

    Author : Dylan Remmits; Viktoria Knittel; [2015]
    Keywords : Expected Stock Returns; Fama-MacBeth Cross-Sectional Regression; Risk Premia; German Market; Value Investing; Factor Investing; Portfolio Approach; Conditional Beta; Firm-Specific Variables; Business and Economics;

    Abstract : Purpose: The purpose of this thesis is to investigate which firm-specific variables can explain the cross-section of expected stock returns in the German market. The tested explanatory variables are market beta, firm size, the book-to-market ratio, the earnings-to-price ratio, leverage, the dividend yield, the cash flow-to-price ratio and sales growth. READ MORE

  6. 25. Asset Pricing with an Excess Volatility Factor : A Multi-Index Model Approach

    University essay from Stockholms universitet/Finansiering

    Author : Tommaso Luigi Valli Fassi; [2015]
    Keywords : asset-pricing; excess volatility; excess returns; variance difference; Fama- French model; Carhart model; Capital Asset Pricing Model;

    Abstract : This paper evaluates the impact that the integration of an excess volatility factor has on the asset-pricing performance of the Fama-French (1992, 1993) and of the Carhart (1997) models, with reference to the retrospective and prospective explanation of the time series and of the cross section of excess returns on stocks. Specifically, the research intends to determine whether or not a new excess volatility factor is able to capture common sources of excess returns on stocks, related to excess volatility, and left unexplained by the available asset-pricing models. READ MORE