Sökning: "Conditional Beta"

Visar resultat 1 - 5 av 11 uppsatser innehållade orden Conditional Beta.

  1. 1. The Momentum Premium: An Intermediary Asset Pricing Perspective

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Simon Eliasson; David Öhlund; [2021]
    Nyckelord :Momentum; Intermediary Asset Pricing; Time-Varying Risk;

    Sammanfattning : We attempt to explain the momentum premium using time-varying risk under the frictions of financial intermediation. Our conditional CAPM model reveals positive covariation between momentum's beta and the expected market risk premium. LÄS MER

  3. 2. The Swedish Value Premium and Disasters: The Missing Piece of the Puzzle?

    C-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Majed Habash; David Öhlund; [2019]
    Nyckelord :The Value Premium; Disasters; Time-varying Risk;

    Sammanfattning : This paper examines the value premium puzzle in Sweden for the period 2002 - 2016 and attempts to explain the puzzle by accounting for time-varying risk exposure with the inclusion of a proxy for financial disasters risk. The value premium is one of the most persistent financial anomalies and the reasons for its existence have been a hot topic for debate over the past years, with more recent research suggesting that it is a form of compensation for higher exposure to harsh economic downturns, or disasters. LÄS MER

  4. 3. Catch-Up with Me if You Can: An empirical analysis of convergence of carbon emission intensity in the EU power sector

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för nationalekonomi

    Författare :Karl Sundblad; Sean Tay; [2019]
    Nyckelord :carbon emission intensity; EU power sector; stochastic convergence; beta-convergence; environmental economics;

    Sammanfattning : The anthropogenic impact on climate change is discernible and the power sector is known to be one of the main contributors of greenhouse gas emissions. This thesis takes a cross-country sectoral approach with the overall objective of analyzing convergence of carbon emission intensity in electricity generation across the power sectors in the EU. LÄS MER

  5. 4. Price is What You Pay, Value is What You Get - Dissecting the Quality Anomaly in US Equity Returns

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Filip Düsing; Erik Ivarsson; [2017]
    Nyckelord :Factor Investing; Quality Factor; Quality Screen; Cross Sectional Regression; Conditional Beta Analysis; Selection Bias; Business and Economics;

    Sammanfattning : The purpose of the thesis relates to the Quality anomaly observed in the US equity market, where stocks with Quality characteristics tend to outperform and have higher risk adjusted returns. By dissecting the Quality anomaly, the thesis aims to analyze the drivers of the over performance of Quality and investigate the presence of a systematic Quality premium. LÄS MER

  7. 5. Intergenerational Mobility and Education - Evidence from Latin America

    Kandidat-uppsats, Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Författare :Linnéa Frid; Désirée Hermann; [2016-07-05]
    Nyckelord :intergenerational mobility; social mobility; inequality; education; Latin America; gender; ethnicity;

    Sammanfattning : The main objective of this study is to investigate the extent of social mobility in Latin America. Using educational attainment as a proxy for socioeconomic status in 18 Latin American countries, this study estimates ordinary-least-squared regressions of the persistence of educational attainment across generations. LÄS MER