Essays about: "Idiosyncratic Skewness"

Found 5 essays containing the words Idiosyncratic Skewness.

  1. 1. The Performance of Stocks Earning Extreme Single-Day Returns: Evidence from Sweden

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Dominik Schleuss; Tavish Gantz; [2021]
    Keywords : MAX Effect; Extreme returns; Cross-section of returns; Lottery-like payoffs; Behavioral Finance;

    Abstract : In 2011, Bali et al. presented evidence that stocks with extreme one and multi day-returns significantly underperform stocks with less extreme returns in the following month. They attributed this to investors exhibiting a preference for stocks with lottery-like payoffs. READ MORE

  3. 2. Tracking Down Skewness: What Role does Fundamental Risk Play? Evidence from Swedish Equities 1994-2013

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Fjodor Krainikov; Jan-Hendrik Mohr; [2014]
    Keywords : Skewness; Coskewness; Leverage; Risk; Swedish stock market;

    Abstract : Our thesis sheds light on the research gap of what makes a firm's stock return skewed. We conduct a broad and explorative study in the Swedish equity market from 1994-2013 to find possible relations between different fundamental risk measures and two particular skewness indicators. READ MORE

  4. 3. Hoping for the jackpot - Swedish individual investors' trading activities in lottery stocks

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Johannes Koblitz; Krisztián Pintér; [2013]
    Keywords : Behavioural finance; Lottery stocks; Idiosyncratic skewness; Idiosyncratic volatility; Noise trading;

    Abstract : In this thesis we analyze behavioural biases that can affect Swedish individual investors during the first years of the financial crisis, between January 2006 and January 2009. In particular, we examine their trading activity of lottery stocks and its effect on the prices, and consequently, on the returns of these stocks. READ MORE

  5. 4. Think on the Downside: Multifactor asset pricing models based on downside risk and their performance relative to the CAPM, FF3F and Momentum

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Daniil Bargman; [2012]
    Keywords : downside risk; MLPM; Omega; co-skewness; co-kurtosis;

    Abstract : This paper introduces two new measures of asset performance in a downside risk-­-reward framework. The first measure, Omega-­-H, is an extension of the Omega ratio from Keating and Shadwick (2002a) that captures an asset's idiosyncratic downside risk and upside potential. READ MORE

  6. 5. Asymmetric Relationships and the Cross Section of Stock Returns

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Viktor Thell; [2012]
    Keywords : Asymmetry; Idiosyncratic Skewness; State Dependence; Higher Order Moments; Macroeconomic News;

    Abstract : This thesis consists of two different papers within the field of Asset Pricing, which study asymmetric relationships in the Cross-Section of Stock Returns: "State Dependence of Macroeconomic Announcement Betas and the Cross-Section of Stock Returns" and "Idiosyncratic Higher Order Moments in the Cross-Section of Stock Returns". In the first paper I examine the relationship between macroeconomic data releases and stock prices. READ MORE