Sökning: "Linus Sigurdson"

Hittade 2 uppsatser innehållade orden Linus Sigurdson.

1. 1. Not Just Noise: An Empirical Study of Irrational Noise Trading and its Role in Financial Markets

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

   Författare :Valter Ehrström; Linus Sigurdson; [2022]
   Nyckelord :Microstructure theory; Noise trading; Retail trading; Sports; Transaction costs;

   Sammanfattning : This paper explores the role of irrational 'noise' traders in financial markets. Theory suggests that a lower share of irrational or uninformed trading in the market should lead to higher adverse selection costs, and that irrational trading should be more susceptible to exogenous, non-economic events that capture traders' time and attention. LÄS MER

3. 2. Probability of Default and Credit Spreads in Banks: Examining a Modified Merton Model for Assessing Bank Risk

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

   Författare :Linus Sigurdson; Fritiof Carling; [2020]
   Nyckelord :Banks; RNPD; Merton model; Credit spreads; Risk;

   Sammanfattning : We examine the modified Merton model, as proposed by Nagel and Purnanandam (2019), and its ability to explain bank credit risk by comparing it to the standard Merton model. Previous structural models of default risk build on the assumption that assets follow a log-normal distribution, which is not applicable to banks. LÄS MER