Essays about: "Cross-section of returns"
Showing result 6 - 10 of 40 essays containing the words Cross-section of returns.
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6. Momentum and Trend in Sweden: Enhancing profits and limiting downside risk by using indicators from different time horizons
University essay from Göteborgs universitet/Graduate SchoolAbstract : Although being one of the most robust anomalies ever discovered, the momentum factor occasionally suffer big losses during market recessions periods. We apply and compare different factor models, and find that when sorting the momentum factor on prior 2-6 months it earns a higher average monthly return compared to the common sorting on prior 2-12 months. READ MORE
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7. Asset growth and the cross-section of stock returns: Evidence from Nordic equity markets
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : We investigate the relationship between firm year-on-year percentage change in total assets and subsequent stock returns in Nordic equity markets. Asset growth rates are strong predictors of future stock returns and hold for firm capitalization. Of particular interest, the asset growth effect is present among large capitalization Nordic stocks. READ MORE
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8. Industry Anomalies: An examination of asset pricing anomalies through an industry-specific framework
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : The finance literature has discovered a large number of anomalies in the cross-section of stock returns over the past three decades. This thesis examines whether some of the most robust anomalies also appear within industries, and whether some are more prominent than others within specific industry sectors. READ MORE
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9. Can Sentiment Predict Stock Returns? Evidence from the Swedish stock market
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : Motivated by existing evidence of the importance of psychology and its impact on investors' decision-making behavior, I investigate the Swedish stock market and the implications that investors' sentiment has on the cross-section of returns. Following the methodology applied by Baker and Wurgler (2006), I construct a composite index and employ this in a bivariate portfolio- level analysis. READ MORE
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10. The value of personality - Using algorithms and econometrics to analyze CEO conscientiousness and its impact on M&A performance
University essay from Göteborgs universitet/Graduate SchoolAbstract : Even after years of extensive and rigorous research, there is still a puzzling question relating to why managers keep engaging in M&A activities in spite of their tendency to destroy value for the shareholders of the acquiring firm. By seeking explanations in personality psychology, we examine the relationship between CEO conscientiousness, short-term stock market reactions and CEO acquisitiveness. READ MORE
