Essays about: "idiosyncratic volatility"

Showing result 1 - 5 of 32 essays containing the words idiosyncratic volatility.

1. 1. Exploring the Idiosyncratic Volatility Anomaly in the Swedish Stock Market: An Empirical Analysis of its Impact on Returns

   University essay from Göteborgs universitet/Graduate School

   Author : Anton Ahlqvist; Walter Uong; [2023-06-29]
   Keywords : ;

   Abstract : We examine the cross-sectional relationship between idiosyncratic volatility relative to the Fama-French three factor model and expected stock returns. We find that portfolios containing the firms with the lowest idiosyncratic risk offers excess returns in relation to the prediction of the Fama-French three factor model, while those with the highest idiosyncratic risk do not. READ MORE

3. 2. Revisiting the Idiosyncratic Volatility Puzzle and MAX Effect in European Equity Markets

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : David Böckling; Jurgis Druktenis; [2023]
   Keywords : Idiosyncratic volatility; Fama-French three-factor model; MAX effect; European equity markets; Asset pricing anomalies;

   Abstract : In light of traditional financial theory's argument that firm-specific risk should not impact future returns, the findings of the Idiosyncratic Volatility (IVOL) puzzle, as well as the Maximum Daily Returns (MAX) effect, have sparked a vibrant academic debate. Using data from January, 1993, to December, 2022, this paper presents European aggregate and country-level evidence at the intersection between the two asset pricing anomalies. READ MORE

4. 3. The Relationship Between Idiosyncratic Volatility and Portfolio Return within Swedish Stock Markets.

   University essay from Göteborgs universitet/Graduate School

   Author : Christian Gray; Ricardo Sousa; [2022-06-29]
   Keywords : ;

   Abstract : Main results suggest there is a statistically and economically significant positive relationship between idiosyncratic volatility and portfolio return within the Swedish stock markets. This relationship is detected despite the low idiosyncratic volatility climate of Sweden. READ MORE

5. 4. The ESG-Risk Relationship - A study of the relationship between ESG and firm-specific risk of publicly traded firms in Sweden

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Jonathan Bark; Melker Lundberg; [2022]
   Keywords : Idiosyncratic Volatility; ESG; Fama-French three-factor model; ESG-risk relationship; Business and Economics;

   Abstract : Non-financial metrics have come to play a larger role in financial markets as years pass, impacting decisions made by businesses, investors and policy makers alike. A significant non-financial metric captured by the term ESG or Environmental, Social and Governance. READ MORE

6. 5. Enhanced Risk-Adjusted Returns Through Momentum Adaptations - Analysis on Momentum Strategies in the Nordic Stock Market

   University essay from Göteborgs universitet/Graduate School

   Author : Felix Nilsson; Bastiaan Picone; [2021-06-30]
   Keywords : Momentum Strategies; Momentum; Price Momentum; Idiosyncratic Momentum; Alpha Momentum; Momentum Adaptations; Constant-Volatility Scaling; Momentum Crash; Nordic Momentum; Volatility; Anomaly; Stock Returns;

   Abstract : Momentum strategies where one buys past winners and sells past losers are one of the most persistent stock market anomalies, showcasing abnormal returns across different markets, asset classes and time periods. Nevertheless, price momentum has been shown by the financial literature to possess considerable hazards, such as high volatility and crash risks. READ MORE