Essays about: "Monday effect"

Showing result 11 - 12 of 12 essays containing the words Monday effect.

  1. 11. Evaluation of single and three factor CAPM based on Monte Carlo Simulation

    University essay from Institutionen för teknik och samhälle

    Author : Tzveta Iordanova; [2007]
    Keywords : Single factor CAPM; Fama French CAPM; OLS regression; Monte Carlo Simulation;

    Abstract : The aim of this master thesis was to examine whether the noticed effect of Black Monday October 1987 on stock market volatility has also influenced the predictive power of the single factor CAPM and the Fama French three factor CAPM, in order to conclude whether the models are less effective after the stock market crash. I have used an OLS regression analysis and a Monte Carlo Simulation technique. READ MORE

  3. 12. Stock Market Anomalies : A Literature Review and Estimation of Calendar affects on the S&P 500 index

    University essay from Internationella Handelshögskolan

    Author : Marcus Davidsson; [2006]
    Keywords : Anomalies; S P 500; Calendar affects;

    Abstract : This thesis investigates the Day-of-the-week, Month-of-the-year and Quarter-of-the-year effects. Historical data from the S&P 500 index between 1970- 2005 is analyzed. The purpose is to investigate if there is any evidence of increased returns (ROR) pattern related to seasonality during this period. READ MORE