Essays about: "Stock Price Crash Risk"

Showing result 1 - 5 of 8 essays containing the words Stock Price Crash Risk.

1. 1. Industry Effects on Stock Price Crash Risk: Quantifying Industry Effects and the Effect of Structural Industry Characteristics

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Indra Berlin; Tuva Broström; [2023]
   Keywords : Stock Price Crash Risk; Industry Level Effects; Industry Concentration; Industry Growth Rate; Industry Profitability;

   Abstract : This paper empirically investigates the determinants of stock price crash risk at the industry level. Prior research has largely focused on firm-level and macro-level factors that impact stock price crash risk, with little attention being drawn to inter-industry differences. READ MORE

3. 2. An Efficient Market Study of European CDS and Equity Markets

   University essay from Umeå universitet/Företagsekonomi

   Author : Fredric Wållberg; Leo Lundberg; [2022]
   Keywords : Efficient Market Theory; Financial Crash; Price Discovery Process; CDS;

   Abstract : This thesis investigates the price discovery process between the stock and the credit default swap market (CDS). We link the financial theory of efficient markets and the underlying models and conditions involved in CDSs, the stock market and financial crashes. READ MORE

4. 3. Enhanced Risk-Adjusted Returns Through Momentum Adaptations - Analysis on Momentum Strategies in the Nordic Stock Market

   University essay from Göteborgs universitet/Graduate School

   Author : Felix Nilsson; Bastiaan Picone; [2021-06-30]
   Keywords : Momentum Strategies; Momentum; Price Momentum; Idiosyncratic Momentum; Alpha Momentum; Momentum Adaptations; Constant-Volatility Scaling; Momentum Crash; Nordic Momentum; Volatility; Anomaly; Stock Returns;

   Abstract : Momentum strategies where one buys past winners and sells past losers are one of the most persistent stock market anomalies, showcasing abnormal returns across different markets, asset classes and time periods. Nevertheless, price momentum has been shown by the financial literature to possess considerable hazards, such as high volatility and crash risks. READ MORE

5. 4. The Relationship Between CSR and Stock Price Crash Risk and the Impact of Mandatory Sustainability Disclosure Regulation - A Study on Listed Nordic Companies

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

   Author : Andi Kullashi; Oscar Franzén Ehrlich; [2020]
   Keywords : Corporate Social Responsibility; Stock Price Crash Risk; Mandatory Sustainability Disclosure; Accounting Transparency;

   Abstract : This study examines the association between corporate social responsibility (CSR) and stock price crash risk in listed Nordic companies using data from 2014-2019, and if mandatory sustainability disclosure regulation has an impact on this association in Sweden and Finland. A CSR based model explaining stock price crash risk is employed to test the aforementioned. READ MORE

6. 5. Risk-Managed Momentum Strategy Using Support Vector Machines

   University essay from Handelshögskolan i Stockholm/Institutionen för nationalekonomi

   Author : Patrick Schneeberger; [2018]
   Keywords : Financial Market; Investment Decisions; Momentum Strategy; Support Vector Machines;

   Abstract : Investment decisions are difficult to make, given the uncertainty about the future. For the purpose of reducing that uncertainty, I investigate, for one, how the consumer price index and the return on the 3-month US Treasury bill can be used by support vector machines to make monthly directional trend predictions of a value-weighted portfolio of stocks traded at AMEX, NYSE and NASDAQ. READ MORE