Sökning: "excess return"

Visar resultat 1 - 5 av 114 uppsatser innehållade orden excess return.

  1. 1. An Evaluation of Asset Pricing Models in the Swedish Context - Is Carharts Four-Factor Model more suitable than its predecessors for explaining the Swedish stock exchange?

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

    Författare :Ludvig Göransson; Iordan Palma Tzakov; [2018-02-20]
    Nyckelord :Capital Asset Pricing Model; Fama French Three-Factor Model; Carhart Four-Factor Model; Swedish stock exchange; r-square-adjusted;

    Sammanfattning : This thesis investigates the explanatory power of the Capital Asset Pricing Model, the Fama French Three-Factor Model and the Carhart Four-Factor Model on the Stockholm Stock Exchange over the period 2012-2016. The purpose is to examine whether or not the Carhart Four-Factor Model explains excess return variability better than the Capital Asset Pricing Model and the Fama French Three-Factor Model. LÄS MER

  2. 2. 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

  3. 3. Stakes and Social Distance in Deceptive Behavior: Experimental Evidence from Malawi

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för nationalekonomi

    Författare :David Cesar-Heymann; [2018]
    Nyckelord :Social distance; Fraud; Deceptive behavior; Development; Malawi;

    Sammanfattning : In a novel experimental setting, we study how stakes and the social distance of the opponent affect deceptive behavior. We run a field experiment using pre-trained actors of different ethnicities who serve as customers utilizing a common means of transport - the bicycle taxi service in Lilongwe, Malawi. LÄS MER

  4. 4. Magic Formula Investing and The Swedish Stock Market

    Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Oskar Strömberg; Oscar Gustavsson; [2018]
    Nyckelord :Magic Formula; Efficient Market Hypothesis; Fama and French three-factor model; CAPM; Swedish stock market; Business and Economics;

    Sammanfattning : The purpose of this paper is to contribute to the existing research within the subject of the Magic Formula. The investment strategy will be tested on historical data for companies on the Stockholm stock exchange during the period 2007-04-01 to 2017-03-31. The return will be benchmarked against OMXS30 as an indicator of the market return. LÄS MER

  5. 5. Socially Irresponsible Investment In The United States

    Kandidat-uppsats,

    Författare :André Grönros; Phung Joakim; [2017-08-22]
    Nyckelord :Abnormal Returns; Ethical; Sin Stock; SRI; Unethical; Unethical Investment;

    Sammanfattning : In this thesis, we provide evidence on the performance of an unethical investment strategy during the 21st-century. We examine publicly traded US companies engage in one of these five industries; gambling, oil/gas, alcohol, tobacco, and defense. LÄS MER

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