Search for dissertations about: "cross-section of stock returns"

Found 5 swedish dissertations containing the words cross-section of stock returns.

  2. 1. Empirical studies of financial asset returns

    Author : Sonnie Karlsson; Lunds universitet; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Asset pricing; Riskaversion; Consumption; Capital investments; Multi-moment; Non-linear; International capital markets; Credit risk; Swap spread; Liquidity;

    Abstract : This dissertation aims at understanding differences in rates of returns on financial assets, both in the cross-section and over time. It contains four chapters. The first paper is "Non-separable preferences and risk aversion: Results from the UK". READ MORE

  4. 2. Empirical tests of exchange rate and stock return models

    Author : Anna Lindahl; Göteborgs universitet; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Foreign exchange order flow; Microstructure; Stock return predictability;

    Abstract : Abstracts to ”Empirical tests of exchange rate and stock return models” Order flow in the Foreign Exchange Market Price discovery in foreign exchange markets is explored using Swedish data including trades from both the customer and the interdealer market. The data set represents a majority of all executed trades in the EURSEK exchange rate over a four-year time period. READ MORE

  5. 3. Essays on Information Transmission and Crisis Spillover in the Financial Markets

    Author : Dinh-Vinh Vo; Nationalekonomiska institutionen; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Central bank communication; ECB; exchange rates; sentiment; LDA; textual analysis; cross-section of stock returns; news-implied volatility; financial contagion; interdependence; global banking system;

    Abstract : This doctoral dissertation comprises three independent essays on information transmission and crisis spillover in the financial markets. The research questions are examined in the context of the foreign exchange market, the stock market and the global banking system. READ MORE

  6. 4. Essays in the financial economics

    Author : Ricardo Lopez Aliouchkin; Handelshögskolan i Stockholm; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

    Abstract : .... READ MORE

  7. 5. Essays on Credit Risk

    Author : Caren Guo Nielsen; Nationalekonomiska institutionen; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Asset pricing; equity returns; size effect; value effect; momentum effect; credit risk effect; credit default swap; banks; asset risk; credit risk; portfolio choice; risk-based capital regulation; bank bailouts; moral hazard; distress risk; capital injections; TARP; CPP; market discipline; financial crisis;

    Abstract : This dissertation covers the issues related to credit risk that stem from the recent financial crisis and that are concerned by investors, financial intermediaries, and governments. The results of the research have important implications for asset managers, such as using the information from the credit risk market to rebalance stock portfolios, and for policy makers in regulating or bailing out banks. READ MORE