Essays about: "cross-sectional variation of returns"

Showing result 16 - 20 of 22 essays containing the words cross-sectional variation of returns.

  1. 16. Corporate Tax Inversions and Shareholder Value Expectations

    University essay from Handelshögskolan i Stockholm/Institutionen för redovisning och finansiering

    Author : Jenny Ahlén; Jessica Ahlén; [2014]
    Keywords : Corporate tax inversion; Expatriation; Tax domicile; Event study; Shareholder value;

    Abstract : This paper aims to investigate the expected shareholder value effects of a corporate tax inversion where a U.S. multinational company re-domiciles to a lower tax-rate country via a merger deal, i.e. READ MORE

  3. 17. Empirical tests of Fama-French three-factor model and Principle Component Analysis on the Chinese stock market

    University essay from Lunds universitet/Företagsekonomiska institutionen

    Author : Jingjing Guo; Kaiwen Wang; [2014]
    Keywords : Business and Economics;

    Abstract : Date: 2014-06-03 Authors: Kaiwen Wang Jingjing Guo [email protected] [email protected]. READ MORE

  4. 18. Investment Uncertainty, Liquidity Supply, and Pairs Trading Profitability

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Björn Beckman; Richard Riboe; [2013]
    Keywords : Pairs trading; Statistical arbitrage; Liquidity; Behavioral bias; Valuation uncertainty;

    Abstract : In this paper, we examine a pairs trading strategy that speculates on the price-level divergence and convergence of paired stocks with similar risk-return characteristics. We explore whether time-variation in pairs trading returns is related to fluctuations in liquidity supply and investment uncertainty. READ MORE

  5. 19. A study of the risk-return relationship in the Swedish housing market: evidence from an H-CAPM model

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Adrian Imreorow; Oscar Schagerström; [2011]
    Keywords : housing capital asset pricing model; H-CAPM; housing market; house price returns; risk-return relationship;

    Abstract : This paper investigates the risk-return relationship in the Swedish housing market by testing a housing capital asset pricing model (H-CAPM). The model is applied on one- and two-dwelling houses for permanent living in 238 municipalities between 1982 and 2009. READ MORE

  6. 20. Cross-Section of Stock Returns: : Conditional vs. Unconditional and Single Factor vs. Multifactor Models

    University essay from Handelshögskolan vid Umeå universitet

    Author : Rustam Vosilov; Nicklas Bergström; [2010]
    Keywords : Cross-section of stock returns; asset-pricing model empirical tests; CAPM; Fama-French; conditional asset-pricing models; time-varying beta; time-varying risk; conditional beta; cross-sectional regression; time series regression; financial market anomalies; value premium; size premium; momentum effect;

    Abstract : The cross-sectional variation of stock returns used to be described by the Capital Asset Pricing Model until the early 90‟s. Anomalies, such as, book-to-market effect and small firm effect undermined CAPM‟s ability to explain stock returns and Fama & French (1992) have shown that simple firm attributes, like, firm size and book-to-market value can explain the returns far better than Beta. READ MORE