Essays about: "Fama-MacBeth Regression"
Showing result 11 - 15 of 18 essays containing the words Fama-MacBeth Regression.
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11. Price is What You Pay, Value is What You Get - Dissecting the Quality Anomaly in US Equity Returns
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : The purpose of the thesis relates to the Quality anomaly observed in the US equity market, where stocks with Quality characteristics tend to outperform and have higher risk adjusted returns. By dissecting the Quality anomaly, the thesis aims to analyze the drivers of the over performance of Quality and investigate the presence of a systematic Quality premium. READ MORE
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12. Firm-Specific Variables and Expected Stock Returns - A study on the German Market -
University essay from Lunds universitet/Företagsekonomiska institutionenAbstract : 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
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13. Are Pre-Scheduled Macroeconomic News Days Different From Other Days? – A Cross-Sectional Analysis of the Swedish Stock Market
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : This thesis has examined if there is any difference in the relationship between different risk factors and the cross-section of assets excess returns on the Swedish stock market between days when macroeconomic news is scheduled to be announced (announcement days) and other days (normal days). The Fama and Macbeth two-pass regression method have been used for investigating the hypothesis that announcement days are different from normal days. READ MORE
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14. Good Will or Risky Business? - The required risk premium for stocks with goodwill
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : This paper studies the empirical relationship between goodwill and the cross-sectional variation in US stock returns during different market conditions. In order to better understand how goodwill is priced in the market, the correlation with both absolute and risk-adjusted future stock returns are investigated using a Fama-MacBeth regression setting. READ MORE
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15. Fama and French Model VS. CAPM: Procyclical Stocks
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : The purpose of this paper is to examine whether Fama and French multi-factor model have indicative explanatory power over the CAPM to the excess returns of the 55 pro-cyclical, publicly owned companies from the UK and if so then to determine which risk factors from the model are significant in explaining the excess returns. We collect the necessary data and form portfolios according to the stocks’ excess returns sensitivity to the IPI after which a set of regressions are run in order to determine whether the variations in the portfolios can be explained by the Fama and French factors. READ MORE
