Sökning: "Asymmetric Returns"

Visar resultat 1 - 5 av 66 uppsatser innehållade orden Asymmetric Returns.

  1. 1. From Hype to Longevity: Evaluating the Endurance of Swedish IPOs : A quantitative approach to measure the long-term performance of IPOs

    Kandidat-uppsats,

    Författare :Vilhelm Carlsson; Alva Persson; Flora Kahlman; [2023]
    Nyckelord :Initial Public Offering IPO ; Long-term IPO Performance; Swedish Stock Market; Behavioral Finance; Asymmetric Information Theory;

    Sammanfattning : The prospect of earning extraordinary returns drives the allure of investing in new companies through IPOs. However, this approach may be flawed due to market conditions, information asymmetry, and behavioral biases. Past research supports evidence of the long-term underperformance of IPOs compared to the market index. LÄS MER

  3. 2. Copula approach to fitting bivariate time series

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Jun Wang; [2023]
    Nyckelord :VaR; Copula; ARMA-GARCH; Extreme Value Theory; GPD; Hill estimator; Mathematics and Statistics;

    Sammanfattning : We apply the GARCH-copula method to estimate Value at Risk (VaR) for European and Stockholm stock indices. First, marginal distributions are estimated by the ARMA-GARCH model with normal, Student-t, and skewed t distributions. LÄS MER

  4. 3. The impact of certification on the reduction of information asymmetry, during and post-IPO

    Magister-uppsats, Lunds universitet/Företagsekonomiska institutionen

    Författare :Paulina Sinaj; Rina Uka; [2023]
    Nyckelord :Initial Public Offering; Initial return; Information asymmetry; Venture Capital; Private Equity; Net change in equity; Business and Economics;

    Sammanfattning : Purpose: The purpose of this study is to investigate the existence of information asymmetry displayed in the initial return, and post-IPO financing. Additionally, how sponsor certification influences IPOs and in the post-IPO financing as a means to reduce information asymmetry. LÄS MER

  5. 4. Symmetry or Asymmetry: A model comparison between different ARCH-class volatility models using Bitcoin returns

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Hannes Wiklund; [2022]
    Nyckelord :GARCH; Model Confidence Set; Bitcoin; Volatility Forecasting; Business and Economics;

    Sammanfattning : This thesis will in turn evaluate the forecast performance of different ARCH-type models' forecast ability using Bitcoin returns from 01-04-2015 to 01-04-2022. More specifically, it is of interest to see if a simple GARCH(1,1) model can outperform more sophisticated models that incorporate the asymmetry in volatility. LÄS MER

  7. 5. Asymmetrisk volatilitet - hur påvisas det i aktiemarknadens olika sektorer? : En sektorjämförelse mellan åren 2012–2022

    Magister-uppsats, Linköpings universitet/Institutionen för ekonomisk och industriell utveckling

    Författare :Linus Alentun; Patrik Egléus; [2022]
    Nyckelord :volatilitet; marknad; aktier;

    Sammanfattning : Abstract Title: Asymmetric volatility – how is it demonstrated in the various sectors of the stock market? Authors: Linus Alentun and Patrik Egléus Supervisor: Katarina Eriksson Background: Asymmetric volatility is a phenomenon that can occur in various financial assets. This can be defined by the fact that volatility and lagged return have a negative correlation in the stock market. LÄS MER