Essays about: "predictability of stocks return"
Showing result 1 - 5 of 18 essays containing the words predictability of stocks return.
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1. Can investor sentiment predict the European size premium? An empirical investigation of regional size premium predictability
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : Research on the determinants of the size premium, i.e. that small stocks on average outperform large stocks, has traditionally focused on financial and macroeconomic factors. However, recent academic studies shed light on the influence of behavioral factors on the size premium, specifically investor sentiment. READ MORE
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2. Using sentiment analysis on Reddit to predict stock returns
University essay fromAbstract : This thesis explores if sentiment analysis can be utilized to predict meme stock returns by analyzing social media activity on the Reddit forum WallStreetBets. We further look at how meme stocks differ from non-meme stocks in their return predictability on this forum. READ MORE
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3. The MAX Effect and Investor Sentiment in Sweden
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : Motivated by existing literature about the effect of maximum daily returns (MAX) on subsequent stock returns and the link between this effect and market sentiment, we investigate the possible effect of MAX on stock performance in Sweden and its relation with market sentiment. Portfolio-level analyses show evidence of MAX negatively affecting returns of stocks listed in Sweden, while firm-level cross-sectional regressions show that MAX has little or no effect on individual stocks' returns. READ MORE
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4. Return Differences on the Swedish Stock Market When Incorporating Different Value-Factors
University essay from Göteborgs universitet/Graduate SchoolAbstract : 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
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5. The Implied Volatility Skew of Single Stock Options and the Predictability of Jumps - Robustness Analysis
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : In this thesis, we try to understand whether the observed implied volatility skew of single stock options is significantly related to the probability of observing future return jumps in the underlying single stock. In particular, our main aim is to verify whether the skew-jump relationship persists during normal periods without any pre-scheduled information disclosure event or it is confined to earnings announcement periods. READ MORE
