Sökning: "Out-of-Sample Predictability"

Visar resultat 1 - 5 av 18 uppsatser innehållade orden Out-of-Sample Predictability.

1. 1. Does the Level of Swedish Economic Policy Uncertainty Help Forecast Excess Returns on the Swedish Stock Market?

   Master-uppsats, Uppsala universitet/Företagsekonomiska institutionen

   Författare :Gustav Jacobsson; Oscar Klersell; [2023]
   Nyckelord :Economic Policy Uncertainty EPU ; Excess stock returns; Out-of-sample forecasting; Random walk; Sweden;

   Sammanfattning : This thesis examines whether the level of Swedish economic policy uncertainty (EPU) can predict excess returns on the Swedish stock market. We run out-of-sample forecasting using an EPU-based predictive model constructed with the official Swedish EPU index developed by Armelius et al. (2017). LÄS MER

3. 2. Decoding the Winning Strategy - An in-depth study of Swedish closed-end funds

   Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Fredrik Stenberg; Markus Albert; [2023]
   Nyckelord :Closed-end funds; predictability of stock returns; predicting investor targets; active ownership; Business and Economics;

   Sammanfattning : The predictability of stock returns, prediction of buyout targets and value creation by activist owners are well-researched areas. However, Swedish closed-end funds' outstanding performance has received little attention. LÄS MER

4. 3. Cyclical consumption and the aggregate stock market: Evidence from the Nordic countries

   Magister-uppsats, Jönköping University/IHH, Företagsekonomi

   Författare :Sasu Huttunen; Govert Looije; [2021]
   Nyckelord :Cyclical consumption; Aggregate stock market; Nordic countries; Out-of-Sample Predictability;

   Sammanfattning : Researchers have dedicated considerable work to explaining components to excess stock market returns. Recently, Atanasov et al. (2020) managed to explain some of this variance in the US stock markets with a cyclical consumption variable. LÄS MER

5. 4. Myth Busted: Stock Return Anomalies Revisited

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

   Författare :Alma Friberg; William Hu; [2021]
   Nyckelord :asset pricing; cross-sectional returns; anomalies; p-hacking; publication bias;

   Sammanfattning : Research has uncovered over 450 anomaly factors that exhibit stock return predictability. However, after anomalies are published and studied in successive literature, the return predictability often seems to attenuate or disappear. LÄS MER

7. 5. Predicting Asset Prices with Machine Learning

   Kandidat-uppsats,

   Författare :Adam Eklund; Valter Trollius; [2020-06-29]
   Nyckelord :Machine learning; neural networks; OLS regression; asset pricing; financial forecasting; out-of-sample; predictability;

   Sammanfattning : This study examines whether machine learning techniques such as neural networks contain predictability when modeling asset prices and if they can improve on asset pricing prediction compared to traditional OLS-regressions. This is analyzed through measuring and comparing the out-of-sample R2 to find each models’ predictive power. LÄS MER