Sökning: "stock return anomalies"

Hittade 2 avhandlingar innehållade orden stock return anomalies.

1. 1. Information and financial markets

   Författare :Stefan Anchev; Jörgen Hellström; Rickard Olsson; Juha-Pekka Kallunki; Umeå universitet; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Information; dissemination of information; production of private information; information disadvantage; investor base; stock return anomalies; stock price informativeness; quantity of firm disclosure; less sophisticated individual investors;

   Sammanfattning : The results in this thesis are consistent with the hypotheses that: 1) the incomplete dissemination of information across investors helps in explaining the occurrence and the persistence of cross-sectional stock return anomalies, 2) the properties of the investor base of a stock have implications for the informativeness of the stock's price and 3) a greater quantity of firm disclosure places less sophisticated investors at an information disadvantage. Overall, the thesis provides new empirical evidence about the role of information in financial markets. LÄS MER

3. 2. Essays on financial market anomalies and Investment strategies

   Författare :Mahdi Heidari; Handelshögskolan i Stockholm; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

   Sammanfattning : This dissertation consists of three papers on momentum strategy and the comovement of stock returns.Momentum Crash Management studies the fat-tailed distribution of momentum strategy’s return and the predictability of momentum crashes. Momentum strategy has both high average returns, and Sharpe ratios. LÄS MER