Essays about: "Stock market capitalization 2006"

Showing result 1 - 5 of 7 essays containing the words Stock market capitalization 2006.

  1. 1. 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

  3. 2. The Index Effect in an Isolated Environment - A Review of the Market Cap Segment Changes on the Nordic Exchanges

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : David Persson; Jacob Wiström; [2013]
    Keywords : index effect; index changes; awareness hypothesis; information cost hypothesis; liquidity hypothesis;

    Abstract : Since 2006, the NASDAQ OMX Nordic Exchanges are divided into three segments based on market capitalization: Small-, Mid- and Large Cap. This paper examines the up- and downgrades between these segments in the framework of the index effect, that is, abnormal returns in connection with index inclusions or exclusions. READ MORE

  4. 3. Does Size Matter? : Abnormal Returns and Market Efficiency at Stockholm Stock Exchange

    University essay from Internationella Handelshögskolan

    Author : Per Einarsson; Hampus Wännerdahl; [2008]
    Keywords : Buy recommendations; market efficiency; abnormal return; capitalization value;

    Abstract : Background and purpose In Sweden private savings in stocks has experienced a large increase and in year 2006 there were 6.7 million people, or 77 per cent of the population owning stocks. A recent study shows that more than every other Swede has deficient knowledge in trading with stocks. READ MORE

  5. 4. On Stock Index Volatility With Respect to Capitalization

    University essay from Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE)

    Author : Marina Pachentseva; Anna Bronskaya; [2007]
    Keywords : GARCH models; Volatility; Heston Model; Index;

    Abstract : Condfidence in the future is a signicant factor for business development. However frequently, accurate and specific purposes are spread over the market environment influence.Thus,it is necessary to make an appropriate consideration of instability, which is peculiar to the dynamic development. READ MORE

  6. 5. Property Capitalization Rates and Investor Rationality in Stockholm

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Rickard Blomdahl; Adam Lewenhaupt; [2006]
    Keywords : Real Estate; Property; Capitalization Rates; Investor Rationality; Mean reversion;

    Abstract : We have established that real rents for office contracts in the Stockholm Central Business District are mean reverting. Do investors realize that mean reversion actually exists and have they managed to incorporate this development into capitalization rates? In order to examine this question we have applied a model constructed by Hendershott and MacGregor to Swedish property data linking property capitalization rates to both future real rental growth and the stock market. READ MORE