The risk-return relationship on macroeconomic announcement days : an empirical study of the Norwegian stock market

Next, the portfolios are sorted into different decades and compared with the market capitalization changes of the firms, which shows that the excess return of sales

The worst additional return per unit of volatility delivered the Russian stock market, the Brazilian market showed a bit higher return per unit of risk, but still lower than the

Table 6: Annualized excess return (in excess of the risk-free rate), volatility (measured by standard deviation), skewness, kurtosis, alpha, beta, adjusted R 2 , and Sharpe Ratio

The purpose of this paper is therefore to estimate the systematic risk of renewable energy companies, as well as the determinants of systematic risk using a variable beta

Sardorsky (2012) examine the relationship between systematic risk and return for publically traded renewable energy companies.. To find out how different factors (such as

We will estimate the models using the Fama- MacBeth (1973) procedure, as this allows us to examine the coefficients and statistical significance of risk premia estimates

Previous papers suggest that the following factors should affect stock returns: foreign exchange exposure, the term premium, the market portfolio and fluctuations in the

is the market return excess of the risk-free