Sökning: "volatility"

Visar resultat 1 - 5 av 831 uppsatser innehållade ordet volatility.

  1. 1. ETF OWNERSHIP AND THE VOLATILITY OF U.S. STOCKS

    Kandidat-uppsats,

    Författare :Max Hansson; Oscar Perers; [2018-07-16]
    Nyckelord :Exchange traded funds; volatility; arbitrage;

    Sammanfattning : This thesis explores the effect ownership by exchange traded funds have on the volatility of their underlying securities. We build upon the research conducted by Ben-David, Franzoni and Moussawi (2017a) and first replicate the results presented by them that ownership by exchange traded funds increase volatility. LÄS MER

  2. 2. Första-Fjärde AP-fonden: Riskjusterad avkastning och risk 2001-2017

    Kandidat-uppsats,

    Författare :David Eliasson; Simon Möller; [2018-07-11]
    Nyckelord : AP-fonderna ; Swedish Pension System; Pension funds; Risk-adjusted Return; Risk Analysis; Diversification; Sharpe Ratio; Fama-French three-factor model;

    Sammanfattning : The purpose of this study is to investigate whether the four Swedish public pension fundsAP1-4 contribute to the stability of the pension system by evaluating their mandate as formulated in the law. The thesis contributes to the existing literature regarding the Swedish pension system through an investigation of the performance and risk level of the funds during the period 2001-2017. LÄS MER

  3. 3. 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

  4. 4. Comparing methods for identifying G-SIBs in Europe

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Emil Johnsson; [2018-07-04]
    Nyckelord :Risk Analysis; Basel Accords; Financial Regulation; Simulation Modeling; Volatility Forecasting; Risk Assessment; Bank Regulation;

    Sammanfattning : MSc in Finance.... LÄS MER

  5. 5. Predictability of return and volatility in Bitcoin markets

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Martin Eimer; Lina Karlsson; [2018-07-03]
    Nyckelord :Bitcoin; Price Manipulation; Abnormal Liquidity; Spoofing; Limit Order Book; High Frequency Trading;

    Sammanfattning : MSc in Finance.... LÄS MER

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