Essays about: "net returns alpha"

Showing result 1 - 5 of 17 essays containing the words net returns alpha.

  1. 1. Examining the Existence of the Characteristic Liquidity Premium: A Study of the U.S. Stock Market

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Joel Ejdesjö; Maxime Karl Marcel Rundström; [2022]
    Keywords : Characteristic liquidity premium; liquidity dimension; low-frequency effective spread; transaction cost mitigation; net returns alpha;

    Abstract : This paper examines the existence of a characteristic liquidity premium among U.S. stock returns between January 1964 and December 2021 after adjusting for transaction costs. Liquidity is estimated using four different measures in order to capture different dimensions of liquidity (price impact, trading cost, trading speed, and trading quantity). READ MORE

  2. 2. Does size have an impact on Nordic Hedge Funds Performance?

    University essay from

    Author : Axel Johansson; Robert Rohlén; [2021-06-30]
    Keywords : Nordic Hedge Fund Returns; Seven Factor Model; Excessive Returns; Risk Adjusted Alpha;

    Abstract : The paper examines the potential relationship between hedge fund’s size of assets under management and performance in the Nordic countries. We employ a modified version of the Fung and Hsieh’s seven-factor model to estimate the different hedge funds risk adjusted alphas, as a proxy for performance. READ MORE

  3. 3. 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

  4. 4. 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

  5. 5. MSCI Climate Paris Aligned Indices : A quantitative study comparing the performance of SR indices and their conventional benchmark indices

    University essay from Umeå universitet/Företagsekonomi; Umeå universitet/Företagsekonomi; Umeå universitet/Företagsekonomi

    Author : Linnéa Casselryd; Agnes Lantto; Alicia Julienne Zanic; [2021]
    Keywords : MSCI Climate Paris Aligned Indices; Socially Responsible Investments; Sustainable Indices; Performance; Beta; Sharpe Ratio; Jensen´s Alpha; Spanning Test; Ordinary Least Squares;

    Abstract : There is no clear consensus about whether green investments perform better, worse orequal to conventional brown investments. With the rising popularity of socialinvestments, it becomes increasingly important to understand these investments. READ MORE