Essays about: "market anomalies"

Showing result 11 - 15 of 75 essays containing the words market anomalies.

  1. 11. Performance of Small- and Large-cap stock portfolios- The importance of market anomalies across business cycles

    University essay from Göteborgs universitet/Graduate School

    Author : Erik Hulth; [2021-06-30]
    Keywords : Stock performance; Market anomalies; Asset pricing; Portfolio sorting techniques; Factor-portfolio sorting techniques; Value effect; Size effect; Momentum effect; Temporal influences; Business cycles; GDP-gap; Single-and Multi- Factor models; CAPM; Fama-French Three-Factor model; Carhart Four-Factor model; Risk-adjusted equity returns; Sharpe Ratio; Jensen´s alpha; NASDAQ OMX and NYSE;

    Abstract : This Master´s thesis investigated the importance of the market anomalies size (market capitalization), value (Book-to-Market ratio) and momentum (lagged short-term momentum) for equity returns of small- and large-cap composite stock portfolios. The study focused on two contrasting stock markets (NASDAQ OMX and NYSE) across domestic business cycles over the time-period 2006 to 2021. READ MORE

  3. 12. 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

  4. 13. Common risk factors in the cross-section of cryptocurrency returns An empirical study on different types of cryptocurrency anomalies: size, momentum, volatility and trend

    University essay from Göteborgs universitet/Graduate School

    Author : Luo Dan; Andersson Sebastian; [2021-06-30]
    Keywords : ;

    Abstract : This paper identifies three common risk factors in the returns on cryptocurrencies. The three common risk factors are the market factor, size factor, and momentum factor. READ MORE

  5. 14. Dumb and Dumber: A Study of Capital Flows and Cross-sectional Mispricing

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Johanna Lindegren; Marcus Hober; [2021]
    Keywords : Mispricing; Pricing anomalies; Hedge funds; Mutual funds; Retail investors;

    Abstract : This study analyzes the role of smart money and dumb money in relation to cross-sectional mispricing of stocks, measured using eleven well-documented asset pricing anomalies. Further, we investigate whether dumber money is present in the market by examining the relationship between retail investor capital flows and mispricing in the cross section of stocks. READ MORE

  6. 15. Unsupervised anomaly detection for structured data - Finding similarities between retail products

    University essay from Högskolan i Halmstad/Akademin för informationsteknologi

    Author : Jonas Fockstedt; Ema Krcic; [2021]
    Keywords : relational data; similarity analysis; data analysis; SQL; NetworkX; graph theory; anomaly detection; unsupervised; retail products; real-world data; AWS; amazon web services; similarity learning; data statistics; data preprocessing; similarity analysis algorithm; data validation;

    Abstract : Data is one of the most contributing factors for modern business operations. Having bad data could therefore lead to tremendous losses, both financially and for customer experience. READ MORE