Essays about: "predictability of stocks returns"
Showing result 1 - 5 of 18 essays containing the words predictability of stocks returns.
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1. 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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2. 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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3. 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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4. Predicting Asset Prices with Machine Learning
University essay fromAbstract : This study examines whether machine learning techniques such as neural networks contain predictability when modeling asset prices and if they can improve on asset pricing prediction compared to traditional OLS-regressions. This is analyzed through measuring and comparing the out-of-sample R2 to find each models’ predictive power. READ MORE
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5. Industry Anomalies: An examination of asset pricing anomalies through an industry-specific framework
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : The finance literature has discovered a large number of anomalies in the cross-section of stock returns over the past three decades. This thesis examines whether some of the most robust anomalies also appear within industries, and whether some are more prominent than others within specific industry sectors. READ MORE
