Essays about: "efficient market"

Showing result 11 - 15 of 1356 essays containing the words efficient market.

  1. 11. Underpricing and short-term returns - An empirical study on Initial public offerings in the Nordics

    University essay from

    Author : Carl Viktorsson; Albin Västertun; [2023-07-03]
    Keywords : Initial public offering; Stock performance; Underpricing;

    Abstract : The study examines the effect underpricing has on short-term returns for 291 Initial public offerings in Denmark, Finland, Norway and Sweden. To test for this, two different OLS-regressions have been developed with Buy-and-hold abnormal returns (BHAR) as the dependent variable, and Market-adjusted abnormal returns (MAAR) as the variable of interest, accompanied by a few control variables. READ MORE

  3. 12. Does ESG-score matter to investors? - An EU Taxonomy Perspective

    University essay from Göteborgs universitet/Graduate School

    Author : Linnéa Falkenström; Johan Olsson; [2023-07-03]
    Keywords : ESG; EU Taxonomy; Efficient Market Hypothesis; Behavioral finance; Investor behavior; Event study;

    Abstract : Since the introduction of the EU Taxonomy, it is still unclear how it affects investors' perception and actions towards high ESG-scoring firms, and whether it effectively promotes sustainable investing. The implications of the EU Taxonomy on finance and the environment are significant and must be addressed. READ MORE

  4. 13. Testing the Adaptive Market Hypothesis on the Swedish Stock Market - Empirical evidence between 1990-2019

    University essay from

    Author : Jacob Allestam; Filip Sjöberg; [2023-06-29]
    Keywords : Adaptive market hypothesis; market efficiency; market conditions; return predictability; trading strategy;

    Abstract : This study examines if the adaptive market hypothesis holds for the Swedish stock market between 1990 and 2019. We use Affärsvärldens Generalindex and test for time-varying return predictability by implementing a variance ratio test and an autocorrelation test. To track how market efficiency evolves over time we use a two-year moving subsample. READ MORE

  5. 14. CAViaR and Cross-sectional quantile regression models to assess risk in S&P500 sectors

    University essay from Göteborgs universitet/Graduate School

    Author : Vladyslava Bab’yak; [2023-06-29]
    Keywords : Value-at-Risk; CAViaR; cross-sectional quantile regression; ; risk;

    Abstract : The aim of this thesis is to investigate the performance of different models used in risk management to identify and control risks that may negatively impact company operations due to unpredictable events. More specifically, the object of this paper is the discussion of a cross-sectional quantile regression model (CSQR) and the CAViaR model, which is a time series quantile regression model. READ MORE

  6. 15. Unveiling the Predictive Power

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Alex Lundvall; Gabriel Ahonen; [2023]
    Keywords : Stock market returns; Macroeconomic indicators; Vector Autoregression model; Granger Causality test; Business and Economics;

    Abstract : To obtain excessive returns on the stock market, investors should be able to effectively forecast what drives the fluctuations of the stock market. The usage of macroeconomic factors as indicators for stock market performances has been utilized more profoundly in recent times. READ MORE