Essays about: "background of market anomalies"

Showing result 1 - 5 of 10 essays containing the words background of market anomalies.

  1. 1. The Power of the Tides : A Quantitative Study Investigating the Momentum Strategy with 30 Industries

    University essay from Jönköping University/IHH, Företagsekonomi

    Author : Oscar Estéen; Jonathan Landahl; Hugo Karlsson; [2023]
    Keywords : Momentum strategy; industry momentum; risk management; market anomalies; momentum investing; portfolio management;

    Abstract : Background: Buying past winners and selling past losers has historically generated both profits and losses. The momentum strategy has been researched with risk measures and portfolio creation as fundamental components. READ MORE

  3. 2. Underpricing and underperformance of Swedish IPO’s : A comparative study of different sectors from 2007-2017

    University essay from Högskolan i Jönköping/Internationella Handelshögskolan

    Author : Gustav Kallén; Henry Björkqvist; [2018]
    Keywords : IPO underpricing; IPO underperformance; IPO sectors; Swedish IPO’s;

    Abstract : Background: The post-IPO anomalous behaviour in the short and long-run are among the well-recognised anomalies in corporate finance, and exist on all equity markets. The researchers are not unanimous what causes these phenomena’s, and previous research has primarily focused on the US and European markets. READ MORE

  4. 3. Stock Market Anomalies: The Day-Of-The-Week-Effect : An empirical study on the Swedish Stock Market: A GARCH Model Analysis

    University essay from Högskolan i Jönköping/IHH, Företagsekonomi

    Author : Alexander Abrahamsson; Simon Creutz; [2018]
    Keywords : Day-of-the-week-effect; GARCH; Stock Market Anomalies;

    Abstract : Background: The day-of-the-week effect has been a widely studied field ever since the concept was introduced in the early 1970s. Historically, negative returns on Mondays have been the most common finding. In line with improved market efficiency, researchers have started to question the existence of this anomaly. READ MORE

  5. 4. Capitalizing on seasonalities in the Singapore Straits Times Index

    University essay from IHH, Företagsekonomi

    Author : Oscar Hetting; Joakim Hellman; Maryam Tarighi; [2012]
    Keywords : Finance; behavioural finance; efficient markets hypothesis; EMH; seasonal anomalies; calendar effects; day-of-the-week effects; month-of-the-year effects; Straits Times Index; STI; abnormal returns;

    Abstract : Purpose: The purpose of this thesis is to study the possible existence of day-of-the-week effects and month-of-the-year effects in the Singapore stock market over the period January 1st 1993 to December 31st 2011. The findings are analysed with the intention of developing investment strategies and to investigate if behavioural finance can help to explain the existence of seasonal anomalies. READ MORE

  6. 5. Value Investment Strategy : Robustness test and application of Piotroski’s model in 4 different markets

    University essay from Handelshögskolan vid Umeå universitet (USBE)

    Author : Patrick Jiang; Robin Moén; [2012]
    Keywords : Piotroski; Value Investment; Efficient market Hypothesis;

    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