Sökning: "excess return"
Visar resultat 1 - 5 av 172 uppsatser innehållade orden excess return.
- Master-uppsats, Göteborgs universitet/Graduate School
Sammanfattning : MSc in Finance.... LÄS MER
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
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
- C-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi
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
- Master-uppsats, KTH/Matematisk statistik
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
- Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen
Sammanfattning : Several researchers have investigated the relationship between credit risk and stock returns, but their findings are ambiguous. While some have found the anomalous relationship that investors pay a negative risk premium when investing in high credit risk stocks, others have presented opposing results. LÄS MER
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