Essays about: "Fama-MacBeth Regression"

Showing result 1 - 5 of 17 essays containing the words Fama-MacBeth Regression.

  1. 1. Is it really worth it?

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Adam Grönvall; Kivanç Kiray; [2020]
    Keywords : Procyclicality premium; Industrial production; Fama Macbeth 2-stage regression; Fama French risk factors; IPI.; Business and Economics;

    Abstract : Previous research shows that there exists a procyclicality premium in some large economies like the U.S. However, this study investigates if a procyclicality premium is present in a small open economy like Sweden as well as in some developed countries around the world due to the size of the Swedish economy. READ MORE

  2. 2. Does Quality Matter?

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Lovisa Jalrup; Sawan Patel; [2020]
    Keywords : Investment strategy; Small-Minus-Big SMB ; size effect; firm quality; Fama-MacBeth two-step regressions.; Business and Economics;

    Abstract : The purpose of this study is to investigate if there is any size effect in the Swedish stock market between April 2010 and December 2019, and if controlling for firms' quality improves the performance of a size-based investment strategy. The risk premium of firms with smaller market value of equity has since its discovery been under heavy scrutiny. READ MORE

  3. 3. A Comparative Analysis of the Performance of Euro-Denominated Green and Conventional Bonds

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Liina-Johanna Leeve; Lois Anum; [2019]
    Keywords : Green Bonds; Conventional Bonds; Sustainable Investments; Corporate Bonds; Fama-Macbeth Regression; Fama-French Model; Matching Principle; Merton Model; Business and Economics;

    Abstract : The green bond market has seen exponential growth since its boom in 2013 but literature on this topic is considered woefully inadequate. This research paper therefore seeks to compare the performance of European green bonds against its conventional counterparts. READ MORE

  4. 4. The Default Risk Puzzle - Evidence from the Swedish market

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Mia-Melina Söderlind; Sara Selin; [2019]
    Keywords : Default risk; Altman s Z -score; Systematic risk; Fama-MacBeth two-step regression; Stockholm Exchange; Business and Economics;

    Abstract : Default risk is a major source of potential losses to equity investors and the effect of default risk on stock returns have therefore been widely examined by several papers. However, whether there exists an anomalous significant relationship between default risk and stock returns is a rather unexplored subject on the Swedish market. READ MORE

  5. 5. 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 sociallyresponsible investing. By implementing a Fama-MacBeth style regression with theFama French three factors and the momentum factor, extended with several detailedenvironmental, social and governance scores the lack of uniformity of these effects areconfirmed. READ MORE