Essays about: "Return predictability"
Showing result 21 - 25 of 57 essays containing the words Return predictability.
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21. Can IPO first day returns be predicted? A multiple linear regression analysis
University essay from KTH/Matematisk statistikAbstract : During the last three years the Swedish stock market has showed a strong upwards movement from the lows of 2016. At the same time the IPO activity has been large and a lot of the offerings have had a positive return during the first day of trading in the market. READ MORE
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22. Predictability of return and volatility in Bitcoin markets
University essay from Göteborgs universitet/Graduate SchoolAbstract : We study how abnormal liquidity affects the predictive power of returns and volatility in Bitcoin markets. The presence of abnormal liquidity can be explained by price manipulation which is the result from previous studies that found manipulators present in the market. READ MORE
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23. Return Predictability: Can correlation effectively predict returns?
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : Previous research shows that index variance can be decomposed into average constituent correlation and average constituent variance. These studies hold that the average correlation captures features of the aggregate market risk and under a risk-reward relationship is a predictor of future excess returns. READ MORE
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24. Forecasting High Yield Corporate Bond Industry Excess Return
University essay from KTH/Matematisk statistikAbstract : In this thesis, we apply unsupervised and supervised statistical learning methods on the high-yield corporate bond market with the goal of predicting its future excess return. We analyse the excess return of industry based indices of high-yield corporate bonds belonging to the Chemical, Metals, Paper, Building Materials, Packaging, Telecom, and Electric Utility industry. READ MORE
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25. Empirical evidence of stock return predictability using macroeconomic variables
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : We investigate whether macroeconomic variables can predict returns of the OMXS30 index in the short run, and if an investor can generate abnormal profits from using the variables with significant predictive power. Granger causality tests, along with a predictive OLS regression framework show that the first difference of the repo rate and the log difference in exchange rates significantly Granger cause stock returns on the Swedish market. READ MORE
