Essays about: "Limits to arbitrage"

Showing result 1 - 5 of 10 essays containing the words Limits to arbitrage.

1. 1. Residual Momentum and Volatility – Managed Portfolios : A Study on the Swedish Equity Market

   University essay from KTH/Fastighetsföretagande och finansiella system

   Author : Erik Huss; Mario Ishak; [2022]
   Keywords : Residual Momentum; Volatility Management; Asset Pricing; Volatility Scaling; Momentum; Transaction Costs; Idiosynkratiskt Momentum; Riskstrategier; Tillgångsprissättning; Momentum; Transaktionskostnader;

   Abstract : In this paper, we present empirical results from the Swedish equity market when testingdifferent strategies aiming at enhancing the performance of a momentum strategy, over a timeperiod from 2000 to 2021. Similar to research conducted on other markets, we find theexistence of a momentum premium on the Swedish equity market, but with a return that is fattailed and negatively skewed. READ MORE

3. 2. Can FEARS predict market returns?

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Victor Löthner; Markus Palsander; [2022]
   Keywords : Investor sentiment; FEARS; Google Trends; Market returns; Limits to arbitrage;

   Abstract : [This paper examines whether internet queries provided by Google Trends can proxy investor sentiment and thereby predict future market returns. By creating our own Financial and Economic Attitudes Revealed by Searches (FEARS) index using Internet Search Volume (SVI), we examine the period 2013-2022. READ MORE

4. 3. 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

5. 4. Returning to Quality: An Empirical Investigation of Short Sale Constraints Effect on a Quality Investment Strategy

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Carl Johan Ingvarsson; [2021]
   Keywords : Quality; Portfolio performance; Difference-in-Difference; Short-sale constraints; Limits to arbitrage; Business and Economics;

   Abstract : This paper examines an investment strategy relying on underlying characteristics of stocks and how market efficiency drives its returns. By using the recently published quality-minus-junk factor this paper attempts to explain the abnormal performance of portfolios sorted on their quality score by using a natural experiment which interferes with market efficiency. READ MORE

6. 5. Does Noise Trader Risk Repel Arbitrageurs? Evidence from Chinese A-H Share Premia

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Qing Zhu; Haihui Li; [2020]
   Keywords : noise trader risk; A-H premia; volatility; investor sentiment; limits to arbitrage;

   Abstract : What causes the Chinese A-H share premia puzzle? A-shares enjoy a premium over corresponding H-shares on average by 125%, despite the same rights and dividends. The existing hypotheses such as differential risk, differential demand, liquidity, and asymmetric information cannot successfully account for the great magnitude of inflated A-share prices and are also inconsistent with our sample from 2014-2019. READ MORE