Essays about: "thesis on the stock market anomalies"

Showing result 1 - 5 of 20 essays containing the words thesis on the stock market anomalies.

  1. 1. Post Earnings Announcement Drift in the Stockholm Stock Exchange : How pronounced is PEAD on beta, traded volume and sector allocation?

    University essay from Blekinge Tekniska Högskola/Institutionen för industriell ekonomi

    Author : Ramon Nino; Paula Sander Pettersson; [2023]
    Keywords : PEAD; Post Earnings Announcement Drift; Anomalies; Efficient Market Hypothesis; Earnings announcements; beta; volume; sector; price;

    Abstract : Post Earnings Announcement Drift (PEAD) is a market anomaly that challenge the “Efficient Market Hypothesis” (EMH). It was first discovered in 1968 by Ball and Brown. When firms on the stock market have their earnings announcement the stock price will be affected and tend to drift up or down in price for days, weeks or months. READ MORE

  3. 2. 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. 3. 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. 4. The Halloween Effect : A trick or treat in the Swedish stock market?

    University essay from Jönköping University/IHH, Företagsekonomi

    Author : Oliver Benjaminsson; Pontus Reinhold; [2020]
    Keywords : The Halloween Effect; Efficient Market Hypothesis; Calendar anomalies; Regression analysis; Trading strategies;

    Abstract : The Halloween effect refers to higher stock returns during the period November to April compared to May to October. This is a well-known calendar anomaly that has gained a lot of attention due to the fact that the effect is persistent in the market in spite of the fact that investors are aware of the anomaly today. READ MORE

  6. 5. Industry Anomalies: An examination of asset pricing anomalies through an industry-specific framework

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Kristiyan Denev; Aleksandar Strinic; [2020]
    Keywords : Industry returns; Asset pricing; Anomalies; Industry Factors; Investment strategies;

    Abstract : 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