Essays about: "short sale constraints"

Showing result 1 - 5 of 7 essays containing the words short sale constraints.

1. 1. Returning to Quality: An Empirical Investigation of Short Sale Constraints Effect on a Quality Investment Strategy

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Carl Johan Ingvarsson; [2021]
   Keywords : Quality; Portfolio performance; Difference-in-Difference; Short-sale constraints; Limits to arbitrage; Business and Economics;

   Abstract : This paper examines an investment strategy relying on underlying characteristics of stocks and how market efficiency drives its returns. By using the recently published quality-minus-junk factor this paper attempts to explain the abnormal performance of portfolios sorted on their quality score by using a natural experiment which interferes with market efficiency. READ MORE

3. 2. Testing the effects of short-selling constraints in Europe using GARCH models

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Kasper Uhd Jepsen; Anna Sofia Louise Karlsson; [2018]
   Keywords : GARCH; Short selling; short sale restrictions; EGARCH; volatility; Business and Economics;

   Abstract : By betting on market downturns, short sellers make profits from asset declines. Thus, critics often blame short sellers for being responsible for market downturns and as a consequence, short selling restrictions became a popular phenomenon worldwide post the 2008 financial crisis. READ MORE

4. 3. Serial Dependence and Portfolio Performance in the Swedish Stock Market

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Niklas Hummel; [2016]
   Keywords : Vector autoregression; portfolio choice; Business and Economics;

   Abstract : This paper studies the possibility to exploit linear dependence in stock returns of the Swedish OMX 30 index. The main model studied in the paper is a Vector autoregressive (VAR) model. Ten years of data from the OMX 30 index is used, consisting of 27 stocks for the period 2006-2015 which is transformed into daily, weekly and monthly returns. READ MORE

5. 4. Analyst Disagreement- A Recipe for Disaster: The Cross-section of Scandinavian Stock Returns

   University essay from Göteborgs universitet/Graduate School

   Author : Robert Wigermo; Viktor Svärd; [2015-07-13]
   Keywords : Differences of opinion; Short sale constraints; Return predictability;

   Abstract : We show that dispersion in analysts’ earnings forecasts is negatively related to future returns on the Scandinavian stock markets. This negative relation is most pronounced for small stocks. READ MORE

6. 5. Emergence of a second Dot-Com boom? – An assessment of indications for overvalued Internet firms and the risk of another Dot-Com bubble

   University essay from Lunds universitet/Företagsekonomiska institutionen

   Author : Florian Wendelin Falch; Madis Pappa; [2012]
   Keywords : Dot-Com bubble; overvaluation; Internet firms; short sale constraints; divergence in investors’ opinion; lock-up period; cumulative abnormal returns; M A intensity; Business and Economics;

   Abstract : The main goal of this thesis is to determine to what degree can there be observed indications for an overvaluation of Internet companies, which in turn may lead to the next asset price bubble in the Internet industry. By conducting an ex-ante analysis, the current study sets out to add additional knowledge in regards to whether and how well the emergence of a bubble can be determined in advance. READ MORE