Essays about: "zero-cost"

Showing result 11 - 15 of 15 essays containing the word zero-cost.

1. 11. Idiosyncratic Risk and Expected Stock Returns: An Empirical Investigation on the GIPS Countries

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Nadir Luvisotti; [2013]
   Keywords : Idiosyncratic Risk; CAPM; Fama-French three factor model; GIPS equity markets;

   Abstract : The thesis aims to provide a framework for understanding how the idiosyncratic risk (IVOL) may affect the returns of individual stocks in the context of the Capital Asset Pricing Model and the Fama-French three factor model. We examine the Greek, Italian, Portuguese and Spanish (GIPS) Equity Markets. READ MORE

3. 12. Pricing of Idiosyncratic Risk in the Nordics

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Nicolas Mcbeath; Christoffer Ask; [2012]
   Keywords : Idiosyncratic risk; Volatility; CAPM; Fama-French three factor model; Nordic equity markets;

   Abstract : We examine the Nordic equity markets during 1992-2011 for the pricing of idiosyncratic risk relative to the CAPM and the Fama-French three factor model. Classical financial theory predicts irrelevance of idiosyncratic volatility (IVOL) for expected returns, while contending theories of undiversified investors and theories from the field of behavioural finance predict a positive relationship. READ MORE

4. 13. Profitability of Momentum Strategies Around the World

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Amanda Kolobaric; Parisa Khatabakhsh; [2011]
   Keywords : Momentum; zero-cost strategy; international; anomalies; efficient market hypothesis; Business and Economics;

   Abstract : In this paper we investigate the international profitability of momentum strategies for a number of countries during the time period between 1995 and 2010. Positive abnormal returns were generated over 3 to 12 months by strategies buying the best past performance stocks and selling the worst past performance stocks. READ MORE

5. 14. Housing Price Insurance: A Study of the Willingness to Pay

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Torbjörn Bäckmark; [2010]
   Keywords : Housing Price Insurance; Housing Price Derivatives; Willingness to pay; Tobit model;

   Abstract : The purpose of this study is to empirically identify factors that affect the willingness to pay for housing price insurance. Applying a Tobit model to data from a market survey performed in Uppsala 2007, this study shows that the willingness to pay for housing price insurance is negatively correlated with homeowners equity in their house, household income and the horizon for the investment in the house and that the willingness to pay is positively correlated with the respondents level of risk aversion. READ MORE

6. 15. Profitability of Momentum Strategies on the Eurozone Market

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Andrei Sandu; Anastasia Korneva; [2009]
   Keywords : momentum; Winner and Loser portfolios; zero-investment strategy; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

   Abstract : This paper investigates the profitability of the zero-cost strategies (Winner-Loser) on the Eurozone market for the time period 1999-2009. We find that the Winner portfolio outperforms the Loser portfolio by, on average, 0,8% per month when we combine formation and holding periods of 3, 6, 9 and 12 months. READ MORE