Essays about: "Monthly Abnormal Return"

Showing result 1 - 5 of 13 essays containing the words Monthly Abnormal Return.

1. 1. Stockholm Stock Exchange and Environmental Rating – A Multifactor Analysis

   University essay from Göteborgs universitet/Graduate School

   Author : Carl Helldén; Julia Lamers; [2022-06-29]
   Keywords : ESG; Environmental; asset pricing models; screening strategies;

   Abstract : The thesis investigates if investors can generate positive abnormal performance by investing in Environmental high-rated stocks on the Stockholm stock exchange based on three screening strategies; positive, negative and best-in-class for value-weighted, long-only and long-short portfolios. The sample is between 2010-2020, using CAPM, Fama-French three factor model and Carhart four factor model. READ MORE

3. 2. Patience, a New Variable in the IPO-Puzzle? : A quantitative study on whether an early IPO negatively affects aftermarket performance

   University essay from Umeå universitet/Företagsekonomi

   Author : Viktor Hansson; Viktor Renström; [2022]
   Keywords : Initial Public Offering; Sweden; Aftermarket Performance; BHAR; Monthly Abnormal Return; Private Equity; Long-run Event Study;

   Abstract : The Swedish market has over the past couple of years seen a large increase in companies going public through an IPO. At the same time the capital on the private equity market is increasing for each year which enables companies to stay private longer. Our research focuses on two main areas. READ MORE

4. 3. The ROIC Over WACC Measurement

   University essay from Handelshögskolan i Stockholm/Institutionen för redovisning och finansiering

   Author : Adam Sten; Ragnar Turesson; [2021]
   Keywords : ROIC; WACC; Portfolios; Efficient Market Hypothesis; stock returns;

   Abstract : McKinsey and Koller et al. (2020) argue that value creation in a company stems from earning a Return on Invested Capital (ROIC) above the Weighted Average Cost of Capital (WACC). This study investigates whether a high ROIC minus WACC measurement is associated with abnormal returns on the OMX Stockholm Large Cap. READ MORE

5. 4. Exploiting Discounts: Evidence from Swedish Investment Companies

   University essay from Uppsala universitet/Företagsekonomiska institutionen

   Author : Andreas Flodström; Martin Rosström Ejnar; [2020]
   Keywords : investment companies; closed-end funds; discounts; abnormal return; market efficiency; anomaly;

   Abstract : This study examines the relationship between discounts on Swedish closed-end investment companies and abnormal return. By sorting Swedish investment companies by the size of their discounts, we create monthly portfolios over a period of 15 years and construct a hedge-portfolio which generate an annualised abnormal return of 9.99%. READ MORE

6. 5. Sustainable Investments

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Märta Sandberg; [2019]
   Keywords : Sustainable investments; financial performance; ESG rating; Fama-French three-factor model; Fama-French five-factor model; CAPM; Business and Economics;

   Abstract : This paper investigates the relationship between financial performance and sustainable performance. More specifically, it investigates whether sustainable firms outperform less sustainable firms. The sustainable performance is based on companies received ESG score. READ MORE