Search for dissertations about: "stock return anomalies"
Found 2 swedish dissertations containing the words stock return anomalies.
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1. Information and financial markets
Abstract : 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. READ MORE
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2. Essays on financial market anomalies and Investment strategies
Abstract : 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. READ MORE