Essays about: "Size effect anomaly"
Showing result 1 - 5 of 7 essays containing the words Size effect anomaly.
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1. Mispricing in the Stock Market - an effect of investor sentiment?
University essay fromAbstract : The purpose of this thesis is to investigate the relationship between mispricing and investor sentiment, on the Swedish and European stock markets. Firstly, it examines whether mispricing is more prominent in periods following high sentiment. READ MORE
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2. Size and Seasonality : Using Enterprise Value and the January effect to Investigate the Size effect on the Swedish stock market 2000-2019 .
University essay from Jönköping UniversityAbstract : In 1981, Banz discovered evidence suggesting that small-cap firms outperform large-cap firms when considering risk-adjusted returns. Banz (1981), called this the “size effect” and raised concerns regarding the ability of current asset pricing models to set accurate prices for assets. READ MORE
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3. Anomaly Detection for Temporal Data using Long Short-Term Memory (LSTM)
University essay from KTH/Skolan för informations- och kommunikationsteknik (ICT)Abstract : We explore the use of Long short-term memory (LSTM) for anomaly detection in temporal data. Due to the challenges in obtaining labeled anomaly datasets, an unsupervised approach is employed. We train recurrent neural networks (RNNs) with LSTM units to learn the normal time series patterns and predict future values. READ MORE
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4. The Reverse Size Effect: Intricate Relationship between Size and Quality in Sweden and the Nordics
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : We examine the size anomaly in the Nordic countries with a particular focus on its largest individual market, Sweden. First, analyzing return patterns of market value sorted portfolios, we find that large stocks outperform small stocks in Sweden and the Nordics, leading to a reverse size effect. READ MORE
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5. Value Investment Strategy : Robustness test and application of Piotroski’s model in 4 different markets
University essay from Handelshögskolan vid Umeå universitet (USBE)Abstract : Background A common goal for many investors is to beat the market. However, only a few are able to do so consistently over a long time. The random walk theory and the efficient market hypothesis are two widely accepted theories that state that it should not be possible to consistently generate abnormal returns in an efficient market. READ MORE
