Essays about: "pricing anomaly"

Showing result 1 - 5 of 25 essays containing the words pricing anomaly.

  1. 1. 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

  3. 2. The Low Volatility Anomaly in Sweden and its Presence During the Covid-19 Pandemic

    University essay from Göteborgs universitet/Företagsekonomiska institutionen

    Author : Felicia Ekener; Albin Friedrichsen; [2022-06-30]
    Keywords : Risk; Low volatility anomaly; Covid-19; Capital Asset Pricing Model.;

    Abstract : Investing in the stock market has interested people for a long time as the hope to generate high returns has been an incentive to risk one’s money. From this argumentation has a general relationship between risk-and-return been created. READ MORE

  4. 3. Navigating in the ESG score jungle- A cross-sectional approach to determine the ESG risk factor

    University essay from Göteborgs universitet/Graduate School

    Author : Gustav Pettersson; Mattias Öhrn; [2022-06-29]
    Keywords : Asset Pricing; ESG Investing; ESG Risk Score; Factor Models; Fama-MacBeth Regressions; Time-Series Regressions;

    Abstract : This thesis examines the relationship between ESG scores and yearly excess return between 2010 and 2020 on the S&P 500 Index. With a solid theoretical background regarding investor preferences, we ask whether investors accept lower returns for holding greener assets. READ MORE

  5. 4. Two Channels, One Anomaly: Diagnosing the Investment Effect

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Tom Lanoizelee; [2022]
    Keywords : Investment Effect; Diagnostic Expectations;

    Abstract : The investment effect is driven by Zhang's rational direct discount-rate channel in the short term but by a non-rational indirect profitability channel in the long term. Unifying Zhang's production based asset pricing with Bordalo et al. READ MORE

  6. 5. The Momentum Premium: An Intermediary Asset Pricing Perspective

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Simon Eliasson; David Öhlund; [2021]
    Keywords : Momentum; Intermediary Asset Pricing; Time-Varying Risk;

    Abstract : We attempt to explain the momentum premium using time-varying risk under the frictions of financial intermediation. Our conditional CAPM model reveals positive covariation between momentum's beta and the expected market risk premium. READ MORE