Essays about: "factor return predictability"

Showing result 1 - 5 of 13 essays containing the words factor return predictability.

  1. 1. Momentum and Trend in Sweden: Enhancing profits and limiting downside risk by using indicators from different time horizons

    University essay from Göteborgs universitet/Graduate School

    Author : Alan Dari Lindahl; Jan Wiki; [2020-07-07]
    Keywords : momentum; momentum crash; echo; trend; moving averages; cross-section; downside risks; predictability; factor models; turnover; transaction costs;

    Abstract : Although being one of the most robust anomalies ever discovered, the momentum factor occasionally suffer big losses during market recessions periods. We apply and compare different factor models, and find that when sorting the momentum factor on prior 2-6 months it earns a higher average monthly return compared to the common sorting on prior 2-12 months. READ MORE

  3. 2. Return Differences on the Swedish Stock Market When Incorporating Different Value-Factors

    University essay from Göteborgs universitet/Graduate School

    Author : Johan Hellström; Viktor Lindström; [2020-07-07]
    Keywords : ;

    Abstract : In this paper, we investigate the predictability in stocks return on the Swedish equity market between 2006 and 2017. Answering the question, what is the differences in using Fama-French three-factor model when applying different constructed portfolios? Previous literature examines this topic on the American stock market. READ MORE

  4. 3. Feeling the Heat of Climate Change - How Sensitive Could It Be? 

    University essay from

    Author : Gustav Kollberg; John Skantze; [2020-06-29]
    Keywords : Climate Sensitivity; Predictability of Stock Returns; Temperature Anomaly; Fama French Three-Factor Model; Carhart Four-Factor Model;

    Abstract : This thesis examines if climate sensitivity predicts stock returns and how well this measurement performs. The sample consists of the S&P 500 and the monthly stock return for the period between 1979 to 2019. The method is first to estimate the climate sensitivity for stock returns from temperature anomaly. READ MORE

  5. 4. Maximum Predictability Portfolio Optimization

    University essay from KTH/Matematik (Avd.)

    Author : Nazim Huseynov; [2019]
    Keywords : Portfolio optimization; linear programming; multi-factor model; Portföljoptimering; linjär optimering; multifaktormodell;

    Abstract : Harry Markowitz work in the 50’s spring-boarded modernportfolio theory. It gives investors quantitative tools to compose and assessasset portfolios in a systematic fashion. The main idea of the Mean-Varianceframework is that composing an optimal portfolio is equivalent to solving aquadratic optimization problem. READ MORE

  6. 5. Empirical evidence of stock return predictability using macroeconomic variables

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Jonatan Gustafsson; Carl Ferm; [2018]
    Keywords : Granger Causality; Predictive Regressions; Trading Strategies; Macroeconomic Variables; Repo Rate;

    Abstract : We investigate whether macroeconomic variables can predict returns of the OMXS30 index in the short run, and if an investor can generate abnormal profits from using the variables with significant predictive power. Granger causality tests, along with a predictive OLS regression framework show that the first difference of the repo rate and the log difference in exchange rates significantly Granger cause stock returns on the Swedish market. READ MORE