Essays about: "Pricing anomalies"

Showing result 1 - 5 of 25 essays containing the words Pricing anomalies.

1. 1. Revisiting the Idiosyncratic Volatility Puzzle and MAX Effect in European Equity Markets

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : David Böckling; Jurgis Druktenis; [2023]
   Keywords : Idiosyncratic volatility; Fama-French three-factor model; MAX effect; European equity markets; Asset pricing anomalies;

   Abstract : In light of traditional financial theory's argument that firm-specific risk should not impact future returns, the findings of the Idiosyncratic Volatility (IVOL) puzzle, as well as the Maximum Daily Returns (MAX) effect, have sparked a vibrant academic debate. Using data from January, 1993, to December, 2022, this paper presents European aggregate and country-level evidence at the intersection between the two asset pricing anomalies. READ MORE

3. 2. The power of momentum: An analysis of momentum extremes within sports betting

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Carl Hellman; [2022]
   Keywords : Behavioral finance; Financial markets; Asset pricing; Cognitive bias; misreaction;

   Abstract : In this paper I examine 20862 betting contracts within the sport of soccer for the last decade within 5 major leagues. I perform tests of pricing anomalies for different instances of momentum by using sports betting as a laboratory environment. I find evidence of overreaction within the general price movements and for standard momentum portfolios. READ MORE

4. 3. Volatility-managed portfolios in the international markets

   University essay from Stockholms universitet/Finansiering

   Author : Soroush Hasanpour; Emil Adamsson; [2022]
   Keywords : Financial Markets; Asset-pricing; asset pricing; Equity; Equity Markets; Volatility; Volatility-management; international markets; Volatility pricing; Pricing anomalies;

   Abstract : Volatility-managed portfolios offer mixed returns in an international setting based on ex-ante information. The results of this paper further strengthen the theory that the variability of excess returns from volatility-management are more dependent on underlying investor strategy rather than differences of global markets. READ MORE

5. 4. Performance of Small- and Large-cap stock portfolios- The importance of market anomalies across business cycles

   University essay from Göteborgs universitet/Graduate School

   Author : Erik Hulth; [2021-06-30]
   Keywords : Stock performance; Market anomalies; Asset pricing; Portfolio sorting techniques; Factor-portfolio sorting techniques; Value effect; Size effect; Momentum effect; Temporal influences; Business cycles; GDP-gap; Single-and Multi- Factor models; CAPM; Fama-French Three-Factor model; Carhart Four-Factor model; Risk-adjusted equity returns; Sharpe Ratio; Jensen´s alpha; NASDAQ OMX and NYSE;

   Abstract : This Master´s thesis investigated the importance of the market anomalies size (market capitalization), value (Book-to-Market ratio) and momentum (lagged short-term momentum) for equity returns of small- and large-cap composite stock portfolios. The study focused on two contrasting stock markets (NASDAQ OMX and NYSE) across domestic business cycles over the time-period 2006 to 2021. READ MORE

6. 5. Dumb and Dumber: A Study of Capital Flows and Cross-sectional Mispricing

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Johanna Lindegren; Marcus Hober; [2021]
   Keywords : Mispricing; Pricing anomalies; Hedge funds; Mutual funds; Retail investors;

   Abstract : This study analyzes the role of smart money and dumb money in relation to cross-sectional mispricing of stocks, measured using eleven well-documented asset pricing anomalies. Further, we investigate whether dumber money is present in the market by examining the relationship between retail investor capital flows and mispricing in the cross section of stocks. READ MORE