Essays about: "Low Volatility Anomaly"
Showing result 1 - 5 of 7 essays containing the words Low Volatility Anomaly.
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1. Exploring the Idiosyncratic Volatility Anomaly in the Swedish Stock Market: An Empirical Analysis of its Impact on Returns
University essay from Göteborgs universitet/Graduate SchoolAbstract : We examine the cross-sectional relationship between idiosyncratic volatility relative to the Fama-French three factor model and expected stock returns. We find that portfolios containing the firms with the lowest idiosyncratic risk offers excess returns in relation to the prediction of the Fama-French three factor model, while those with the highest idiosyncratic risk do not. READ MORE
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2. The Low Volatility Anomaly in Sweden and its Presence During the Covid-19 Pandemic
University essay from Göteborgs universitet/Företagsekonomiska institutionenAbstract : Investing in the stock market has interested people for a long time as the hope to generate high returns has been an incentive to risk one’s money. From this argumentation has a general relationship between risk-and-return been created. READ MORE
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3. The Beta Anomaly in Recessions: Revisiting Beta's role in the Beta Anomaly
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : In this thesis, we extend upon existing research on the beta anomaly by investigating beta's role in the anomaly. This is done by studying the anomaly during recessions, where beta-driving variables such as leverage constraints likely are affected. READ MORE
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4. A Study on the Low Volatility Anomaly in the Swedish Stock Exchange Market : Modern Portfolio Theory
University essay from Linköpings universitet/Nationalekonomi; Linköpings universitet/Fysik och elektroteknikAbstract : This study investigates, with a critical approach, if portfolios consisting of high beta stocks yields more than portfolios consisting of low beta stocks in the Swedish stock exchange market. The chosen period is 1999-2016, covering both the DotCom Bubble and the financial crisis of 2008. READ MORE
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5. The Low Risk Anomaly Evidence from Sweden
University essay from Göteborgs universitet/Graduate SchoolAbstract : This paper finds that the low risk anomaly is present on NASDAQ OMX Stockholm during January 2005 until December 2014. The result has been produced with a survivorship bias-free sample, consisting of 25 108 firm-month observations in total. READ MORE