Sökning: "Equity Markets"

Visar resultat 11 - 15 av 392 uppsatser innehållade orden Equity Markets.

  1. 11. Predictive Modeling and Statistical Inference for CTA returns : A Hidden Markov Approach with Sparse Logistic Regression

    Master-uppsats, Umeå universitet/Institutionen för matematik och matematisk statistik

    Författare :Oskar Fransson; [2023]
    Nyckelord :Probability theory; Statistical inference; finance; CTA; managed futures; machine learning; statistical learning; stochastic process; sparse logistic regression; Markov Chain Monte Carlo; Hidden Markov model;

    Sammanfattning : This thesis focuses on predicting trends in Commodity Trading Advisors (CTAs), also known as trend-following hedge funds. The paper applies a Hidden Markov Model (HMM) for classifying trends. Additionally, by incorporating additional features, a regularized logistic regression model is used to enhance prediction capability. LÄS MER

  3. 12. There Is Nothing Certain But The Uncertain

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Hannes Thorstensson; Carl Tjernberg; [2023]
    Nyckelord :Uncertainty; Vol-of-vol; Ambiguity; Asset Pricing; Business and Economics;

    Sammanfattning : Risk and risk aversion are crucial concepts in finance. Models in finance typically assume a known probability distribution of returns, which does often not hold in reality. This papers aims to measure the uncertainty surrounding the probability distribution in equity markets and to evaluate if such uncertainty is priced. LÄS MER

  4. 13. Accounting for the Measurement Bias: A Study of Market Efficiency in the United States and the Relevance of Extensive Fundamental Analysis in Equity Valuation

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för redovisning och finansiering

    Författare :Erik Bergmark; Hugo Freudenthal; [2023]
    Nyckelord :Accounting valuation bias; Fundamental analysis; Horizon Value; Market mispricing; Residual income valuation;

    Sammanfattning : This thesis investigates abnormal returns over the period 1983-2021 from an investment strategy that is based on public accounting information. Investment positions are taken in US manufacturing firms and are held for 36 months using a self-financing (hedged) portfolio. LÄS MER

  5. 14. Revisiting the Idiosyncratic Volatility Puzzle and MAX Effect in European Equity Markets

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

    Författare :David Böckling; Jurgis Druktenis; [2023]
    Nyckelord :Idiosyncratic volatility; Fama-French three-factor model; MAX effect; European equity markets; Asset pricing anomalies;

    Sammanfattning : In light of traditional financial theory's argument that firm-specific risk should not impact future returns, the findings of the Idiosyncratic Volatility (IVOL) puzzle, as well as the Maximum Daily Returns (MAX) effect, have sparked a vibrant academic debate. Using data from January, 1993, to December, 2022, this paper presents European aggregate and country-level evidence at the intersection between the two asset pricing anomalies. LÄS MER

  7. 15. Turning with the tide

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

    Författare :Evelina Olsson; Carl Rex; [2023]
    Nyckelord :Herd Behaviour; Nordic capital markets; Equity return dispersion; Investor sentiment;

    Sammanfattning : This paper explores the presence of herding behaviour in the Nordic stock markets, i.e. the tendency of investors to mimic each other and follow the herd whilst disregarding their own beliefs and abilities to make rational investment decisions. LÄS MER