Sökning: "Stock return volatility"

Visar resultat 1 - 5 av 104 uppsatser innehållade orden Stock return volatility.

  1. 1. The Impact of Leverage on Return-Volatility Relationship -An Empirical Study of the Nordic Equity Markets

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Jenny Ha Nguyen; [2018-07-04]
    Nyckelord :Risk-return relation; low volatility effect; leverage; volatility; Nordic stock market; Fama-French three factors;

    Sammanfattning : MSc in Finance.... LÄS MER

  2. 2. Herding Behavior in Forecasting of European Companies: Optimism and the Impact of the MiFID

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

    Författare :Tom Sigfridsson; Erik Lunning; [2018]
    Nyckelord :Herding; Earnings per share forecasts; Optimism; Regulation; MiFID;

    Sammanfattning : This thesis examines analysts' earnings per share forecast revisions for European companies and classifies them as either herding or bold. We further classify bold forecasts as optimistic or pessimistic. LÄS MER

  3. 3. Forecasting High Yield Corporate Bond Industry Excess Return

    Master-uppsats, KTH/Matematisk statistik

    Författare :Carlos Junior Lopez Vydrin; [2018]
    Nyckelord :;

    Sammanfattning : In this thesis, we apply unsupervised and supervised statistical learning methods on the high-yield corporate bond market with the goal of predicting its future excess return. We analyse the excess return of industry based indices of high-yield corporate bonds belonging to the Chemical, Metals, Paper, Building Materials, Packaging, Telecom, and Electric Utility industry. LÄS MER

  4. 4. Risk-Managed Momentum Strategy Using Support Vector Machines

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för nationalekonomi

    Författare :Patrick Schneeberger; [2018]
    Nyckelord :Financial Market; Investment Decisions; Momentum Strategy; Support Vector Machines;

    Sammanfattning : Investment decisions are difficult to make, given the uncertainty about the future. For the purpose of reducing that uncertainty, I investigate, for one, how the consumer price index and the return on the 3-month US Treasury bill can be used by support vector machines to make monthly directional trend predictions of a value-weighted portfolio of stocks traded at AMEX, NYSE and NASDAQ. LÄS MER

  5. 5. Bank stock return sensitivity to changes in interest rate level and volatility

    Kandidat-uppsats, Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO); Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO)

    Författare :Filip Bengtsson; Alfred Persson; [2018]
    Nyckelord :Banks; stock return; interest rates; volatility; GARCH-M;

    Sammanfattning : This paper examines how the level and volatility of interest rates affect the stock return of banks using a GARCH-M model. Data is collected for Swedish and Danish banks stock return and interest rates on monthly basis for the period January 2000 to April 2018. LÄS MER


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