Essays about: "cross-sectional variation of returns"

Showing result 6 - 10 of 22 essays containing the words cross-sectional variation of returns.

  1. 6. The Swedish equity market: Anomalies and pricing contributions using portfolio sorting techniques

    University essay from Göteborgs universitet/Graduate School

    Author : Max Hulth; Gustav Nilsson; [2018-07-04]
    Keywords : Asset pricing; Anomalies; Portfolio sorting; CAPM; Fama French three-factor model; Carhart four-factor model;

    Abstract : The Capital Asset Pricing Model (CAPM) is a widely used tool to describe the risk-return relationship for stocks. Several studies focusing on asset pricing have during the last decades indicated that the one-factor model CAPM is associated with limitations to explain the cross-sectional and time variation in expected stock returns. READ MORE

  3. 7. The Impact of Leverage on Return-Volatility Relationship -An Empirical Study of the Nordic Equity Markets

    University essay from Göteborgs universitet/Graduate School

    Author : Jenny Ha Nguyen; [2018-07-04]
    Keywords : Risk-return relation; low volatility effect; leverage; volatility; Nordic stock market; Fama-French three factors;

    Abstract : Prior studies have documented mixed evidence regarding the relationship between stock returns and equity return volatilities. The purpose of this thesis is to contribute to the debate about the direction of the risk-return relationship and to seek further explanation for this phenomenon. The aim of this thesis is therefore two-fold. READ MORE

  4. 8. Macroeconomic forces behind underpricing

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Andrea Tugnoli; Julian Hüfner; [2018]
    Keywords : initial public offering; underpricing; macroeconomic variables; cross-section approach; unconventional monetary policy; IPO underpricing; Financial crisis; Business and Economics;

    Abstract : The thesis empirically investigates the question whether there is an influence of macroeconomic forces to initial public offering (IPO) underpricing. In addition it tries to find whether unconventional monetary policy has also an impact on underpricing. READ MORE

  5. 9. Decomposing the Term Structure of Housing Risk: Implications of Market Segmentation and Liquidity

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : August Hansson; Olov Ryding Hallin; [2018]
    Keywords : Housing risk; Real estate returns; Liquidity; House price index; Household finance;

    Abstract : This paper studies the empirical properties of the term structure of total housing risk in Sweden using a particularly rich dataset of housing transactions. We contrast recent studies by showing that, even after ten years, 75% of the total variation in housing returns will be attributable to the idiosyncratic shock. READ MORE

  6. 10. Earnings Surprises and the Cross-Section of Stock Returns

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Benedicte Sofie Damslora; Marcus Engström; [2016]
    Keywords : Earnings surprises; S P 500; Risk factors;

    Abstract : Do earnings surprises affect stock prices during the subsequent quarter? If so, what is the estimated impact, and to what extent can it be clearly distinguished from other factors? To answer these questions we build ten dynamic portfolios in which the companies are continuously reallocated according to their latest earnings surprise. A cross-sectional regression based on these portfolios indicates a distinct albeit nonlinear effect of the earnings surprise. READ MORE