Sökning: "excess return"

Visar resultat 1 - 5 av 175 uppsatser innehållade orden excess return.

  1. 1. The long-term effects of CAPEX, R&D and acquisition expenditure on stock returns

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Oskar Berglund; Mattias Ivermark; [2018-07-04]
    Nyckelord :R D; CAPEX; Acquisitions; Fama-French; Four factor model; Stock returns;

    Sammanfattning : MSc in Finance.... LÄS MER

  2. 2. 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

  3. 3. Myten om den effektiva marknaden? : Empirisk studie av ”Dogs of the Dow”-strategin och investeringar i stabila utdelningsbolag på Stockholmsbörsen

    Magister-uppsats, Linköpings universitet/FöretagsekonomiLinköpings universitet/Filosofiska fakulteten; Linköpings universitet/FöretagsekonomiLinköpings universitet/Filosofiska fakulteten

    Författare :Per Andreassen; Niklas Nohlgren; [2018]
    Nyckelord :”Dogs of the Dow”; efficient market; dividend yield strategy; portfolio management; Stockholm Stock Exchange; stable dividend payouts.; ”Dogs of the Dow”; effektiv marknad; utdelningsstrategi; portföljförvaltning; Stockholmsbörsen; stabila utdelningsbolag.;

    Sammanfattning : BAKGRUND: Investerare har försökt slå marknaden så länge kapitalmarknader har funnits. En investeringsstrategi som använts är ”Dogs of the Dow”. Investeringsstrategin bygger på att investera i de bolagen med högst utdelningsandel. LÄS MER

  4. 4. Return Predictability: Can correlation effectively predict returns?

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

    Författare :Tor Fryer Petersson; Stina Karlsson; [2018]
    Nyckelord :CAPM; Average correlation; Risk-reward trade-off; Return predictability; Roll Critique;

    Sammanfattning : Previous research shows that index variance can be decomposed into average constituent correlation and average constituent variance. These studies hold that the average correlation captures features of the aggregate market risk and under a risk-reward relationship is a predictor of future excess returns. LÄS MER

  5. 5. 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

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