Essays about: "cross-sectional return predictability"
Found 5 essays containing the words cross-sectional return predictability.
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1. The MAX Effect and Investor Sentiment in Sweden
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : Motivated by existing literature about the effect of maximum daily returns (MAX) on subsequent stock returns and the link between this effect and market sentiment, we investigate the possible effect of MAX on stock performance in Sweden and its relation with market sentiment. Portfolio-level analyses show evidence of MAX negatively affecting returns of stocks listed in Sweden, while firm-level cross-sectional regressions show that MAX has little or no effect on individual stocks' returns. READ MORE
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2. Myth Busted: Stock Return Anomalies Revisited
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : Research has uncovered over 450 anomaly factors that exhibit stock return predictability. However, after anomalies are published and studied in successive literature, the return predictability often seems to attenuate or disappear. READ MORE
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3. The MAX effect and what drives it - Evidence from the Swedish stock market
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : Inspired by previous findings on the cross-sectional relationship between extreme positive daily stock returns and subsequent negative returns in the US and euro-zone markets, we search for its presence in the Swedish market. We argue that this effect, known as the MAX effect, is mainly driven by individual investors seeking lottery-like payoffs. READ MORE
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4. The Option Volume to Stock Volume Ratio, Market Efficiency and Future Returns
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : The study of the information value in options has for decades been at the centre of financial research. Recent findings indicate that informed investors prefer to use options to trade on negative information, causing the option volume to stock volume ratio (O/S) to correlate negatively with future returns. READ MORE
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5. A short-term contrarian strategy in the Swedish Stock Exchange
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : One of the most important topics in financial literature is the Efficient Market Hypothesis (EMH). Recent financial research has questioned this hypothesis, and many authors have reached the conclusion that a contrarian strategy creates abnormal positive returns. In other words a strategy profiting buying losers and selling winners. READ MORE
