Vis enkel innførsel

dc.contributor.advisorSantos, Francisco
dc.contributor.authorLapitskaya, Alexandra
dc.date.accessioned2021-11-10T12:44:58Z
dc.date.available2021-11-10T12:44:58Z
dc.date.issued2021
dc.identifier.urihttps://hdl.handle.net/11250/2828888
dc.description.abstractIn this thesis, I test whether the return premia associated with firm characteristics such as value, size, operating profitability, investment, momentum, and equity status are driven by firm characteristics or exposure to risk factors (covariances) in the U.S. stock market. I find that the value, operating profitability, investment, and market risk (equity status) premia are associated with firm characteristics rather than covariances with corresponding risk factors. The firms with these characteristics earn a return premium irrespective of their risk factor loadings, and the factor loadings explain the returns only to the extent to which they proxy for corresponding characteristics. On the contrary, the size premium is mostly driven by the covariances with the SMB factor, as the premium is evident even after controlling for the size characteristic. For the momentum premium, the covariance structure of returns is unstable, and no convincing conclusions can be drawn with the methodology used in this thesis.en_US
dc.language.isoengen_US
dc.subjectfinanceen_US
dc.titleThe Nature of Asset Pricing Anomalies : Characteristics versus Covariances of Factor Exposuresen_US
dc.typeMaster thesisen_US
dc.description.localcodenhhmasen_US


Tilhørende fil(er)

Thumbnail

Denne innførselen finnes i følgende samling(er)

Vis enkel innførsel