Essays about: "cross-sectional variation of returns"

Showing result 11 - 15 of 22 essays containing the words cross-sectional variation of returns.

  1. 11. Static and Time-Varying Foreign Exchange Rate Exposure Estimation Methods

    University essay from Uppsala universitet/Företagsekonomiska institutionen

    Author : Mihai-Doru Zoicas; [2016]
    Keywords : ;

    Abstract : This study examines the contingency of foreign exchange rate exposure and its antecedents onmodelling techniques utilized in previous literature. Based on a sample of 567 US non-financiallisted companies the analysis reveals that only 11.29% of firms face exposure to the US$ tradeweightedcurrency index when Jorion’s equation is run. READ MORE

  3. 12. An alternative approach for investigating risk factors

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Erik Graf; Oskar Rosberg; [2016]
    Keywords : Asset pricing; Fama and French five-factor model; Investment variable; Asset turnover; DuPont analysis;

    Abstract : Studying the five-factor asset pricing model developed by Eugene F. Fama and Kenneth R French in 2015, this paper finds conclusive evidence that the premium awarded to non-financial, American firms for exposure towards the newly added investment factor differs depending on firm characteristics. READ MORE

  4. 13. Growth Expectations, Dispersion of Beliefs and the Cross-Section of Stock Returns

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Simon Ingo Koch; [2016]
    Keywords : Growth expectations; dispersion of beliefs; macroeconomic uncertainty; cross-section of stock returns; omitted variable bias; multicollinearity; Business and Economics;

    Abstract : The present study investigates whether the mean and the standard deviation of real GDP growth forecasts from the ECB Survey of Professional Forecasters (SPF) can help to explain the cross-sectional variation of expected returns in the German stock market. The expected real GDP growth from the SPF can be interpreted as a proxy for expected business conditions, whereas the cross-sectional dispersion of these expectations may serve as a proxy for macroeconomic uncertainty. READ MORE

  5. 14. Growth Opportunities, Investment Propensity and Currency Risk Premia

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Martin Welz; [2014]
    Keywords : Carry trade; Capital inflows; Currency risk premia; Growth opportunities;

    Abstract : Recent studies have found a link between exchange rate returns and macroeconomic imbalances. However, focusing mainly on standard fundamentals might not identify the true drivers of an economy's future repayment ability and therefore currency risk. READ MORE

  6. 15. Who is winning the earnings game? : A study about earnings management and subsequent stock returns in the U.S equities market.

    University essay from Umeå universitet/Företagsekonomi

    Author : Albin Bjurman; Afroza Rahman; [2014]
    Keywords : Real earnings management; accrual-based management; stock returns; accounting variables; stock repurchases; asset pricing; earnings management;

    Abstract : The earnings game and myopic performance focus induce managers to use judgment and influence to alter the reported earnings. Earnings management is the umbrella term for such manipulative actions, by accruals management or real activates management. READ MORE