Essays about: "Return predictability"

Showing result 6 - 10 of 57 essays containing the words Return predictability.

  1. 6. THE PREDICTIVE ABILITY OF FINANCIAL RATIOS ON STOCK RETURNS. A study of the S&P Global 100 during 2000 – 2020

    University essay from Göteborgs universitet/Företagsekonomiska institutionen

    Author : Ninni Ekman; [2022-04-07]
    Keywords : Financial ratios; stock return; predictability; regression;

    Abstract : This study examines the predictive ability of ten financial ratios on annual stock returns at a one-year horizon. Ratios and stock returns are observed for the S&P Global 100 Index over the time period 2000 to 2020. The index is chosen for its representativeness stemming from the size and multinationality of its constituents. READ MORE

  3. 7. A machine learning approach leveraging technical- and sentiment analysis to forecast price movements in major crypto currencies

    University essay from KTH/Matematik (Avd.)

    Author : Ludvig Harting; Nils Åkesson; [2022]
    Keywords : Artifical Neural Network; Crypto; Sentiment Analysis; Twitter; Technical Analysis; Bitcoin; Ether; Litecoin; Artificiellt Neuronnät; Kryptovalutor; Sentimentsanalys; Twitter; Teknisk Analys; Bitcoin; Ether; Litecoin;

    Abstract : This paper uses a back-propagating neural network (BPN) to predict the price movements of major crypto currencies, leveraging technical factors as well as measurements of collective sentiment derived from the micro-blogging network Twitter. Our dataset consists of daily, hourly and minutely price levels for Bitcoin, Ether and Litecoin along with 8 popular technical indicators, as well as all tweets with the currencies' cash tags during respective time periods. READ MORE

  4. 8. The MAX Effect and Investor Sentiment in Sweden

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Soroush Mojtahedi; Artemy Savin; [2021]
    Keywords : MAX Effect; Extreme Returns; Investor Sentiment; Lottery-type Stocks; Stock Return Predictability;

    Abstract : Motivated by existing literature about the effect of maximum daily returns (MAX) on subsequent stock returns and the link between this effect and market sentiment, we investigate the possible effect of MAX on stock performance in Sweden and its relation with market sentiment. Portfolio-level analyses show evidence of MAX negatively affecting returns of stocks listed in Sweden, while firm-level cross-sectional regressions show that MAX has little or no effect on individual stocks' returns. READ MORE

  5. 9. Market Efficiency for Bitcoin

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Pirachtha Taechawattananant; Hasan Kashmar; [2021]
    Keywords : Bitcoin; Efficiency Market Hypothesis; Adaptive Market Hypothesis; Halving Events; Business and Economics;

    Abstract : The essence of market efficiency has been an interesting area for inspection by investors and scholars. In this study, we investigate the efficiency of a relatively new asset: Bitcoin. This paper examines the efficiency of Bitcoin by studying the impact of Bitcoin’s so-called halving dates. READ MORE

  6. 10. Myth Busted: Stock Return Anomalies Revisited

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Alma Friberg; William Hu; [2021]
    Keywords : asset pricing; cross-sectional returns; anomalies; p-hacking; publication bias;

    Abstract : Research has uncovered over 450 anomaly factors that exhibit stock return predictability. However, after anomalies are published and studied in successive literature, the return predictability often seems to attenuate or disappear. READ MORE