Essays about: "Zero-Investment Long-"
Found 5 essays containing the words Zero-Investment Long-.
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1. Cryptocurrency Return Predictors - A Replicative Reassessment Rising Stablecoin Growth - Cryptocurrency Return Predictors in New Market Conditions
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : We successfully construct nine significant cryptocurrency return predictor strategies based on market capitalization, momentum and volatility characteristics. We replicate the methods used in the article "Common Risk Factors In Cryptocurrency" using a larger and more recent dataset encompassing changed cryptocurrency market conditions and asset composition (Liu, Tsyvinski, Wu, 2022). READ MORE
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2. Macroeconomic exposure of Swedish firms’ revenue and its impact on stock returns
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : Previous research suggests that by examining the regional origins of revenues and the expected economic growth in regions, supra-normal returns may be achieved by creating zero investment portfolios. Nevertheless, such previous research examines countries with low export dependence and a high internal demand or uses data from a number of countries with di↵erent economic dependencies. READ MORE
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3. Style Timing in the European Equity Markets: Recursive Modeling for Directional Predictions of Size and Value Premiums
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : In this study predictability of short-term variability in European size and value premiums is investigated. By the means of a recursive logistic regression model allowing for permutations over the independent variables, it is shown that the direction of both size and value premiums is predictable. READ MORE
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4. Sector Neutral Contrarian Strategies: - A study of short-term contrarian strategies in the Dow Jones STOXX 600
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : This paper studies short-term contrarian strategies in the Dow Jones STOXX 600 between 1993 and 2008 taking on a sector neutral approach. The contribution to the literature is two folded. First, we investigate short-term contrarian strategies on an index covering 18 European countries. READ MORE
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5. Momentum Profits and Return Persistence on the Swedish Stock Market
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : Within the field of momentum effects, this paper investigates whether a zero-investment strategy, where a short position in a portfolio of previously bad performing stocks finance a long position in a portfolio of past well performing stocks, generate positive returns in the period 1987 to 2008. The primary focus is to examine whether it is possible to earn abnormal returns from such a strategy and if these returns can be explained by various types of risk measures. READ MORE
