Sökning: "Alpha Momentum"

Visar resultat 6 - 10 av 27 uppsatser innehållade orden Alpha Momentum.

  1. 6. The Momentum Premium: An Intermediary Asset Pricing Perspective

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

    Författare :Simon Eliasson; David Öhlund; [2021]
    Nyckelord :Momentum; Intermediary Asset Pricing; Time-Varying Risk;

    Sammanfattning : We attempt to explain the momentum premium using time-varying risk under the frictions of financial intermediation. Our conditional CAPM model reveals positive covariation between momentum's beta and the expected market risk premium. LÄS MER

  3. 7. The (in)efficiency of Financial Markets : Applying the Relative Strength Strategy on the Swedish Large cap Exchange

    Kandidat-uppsats, Mälardalens högskola/Akademin för ekonomi, samhälle och teknik

    Författare :Rickard Varli; [2021]
    Nyckelord :Financial markets; Sweden; Efficient Markets; Momentum Strategy; Historical Returns; Risk;

    Sammanfattning : This paper examines the efficiency of the Swedish stock market, specifically the Large cap list of the Stockholm stock exchange. This is achieved by implementing the relative strength method of investing during the decade of 2010-2020 and evaluate the results in contrast to the Efficient Market Hypothesis. LÄS MER

  4. 8. Does the Active Country Momentum Portfolio Beat the Passive Market Portfolio? : an empirical study on exchange-traded funds

    Master-uppsats, Örebro universitet/Handelshögskolan vid Örebro Universitet

    Författare :Anton Ericsson; Anton Erickson; [2021]
    Nyckelord :Momentum strategy; Exchange-traded funds; Efficient markets; Inefficient markets; Sharpe ratio; Jensen’s alpha; Morningstar risk-adjusted return;

    Sammanfattning : The thesis examines the strategy of country momentum and is evaluated with 30 different country exchange-traded funds (ETFs) for the period 1996-2018. The empirical evaluation is designed to apply different formation- and holding periods with overlapping portfolios. LÄS MER

  5. 9. The ESG Dilemma

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

    Författare :Marcus Galli; Lamin K Darboe; [2021]
    Nyckelord :Sustainable Investing; SRI; ESG;

    Sammanfattning : Investing with the purpose of doing good has been gaining a lot of momentum in the past few years. Leading to increased investments in exchange traded products, mutual funds and equities with higher levels of ESG score both in developed and developing countries. LÄS MER

  7. 10. Growth and Momentum - Rich and Richer : -A study on momentum and growth on the automotive Frankfurt stock market

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

    Författare :Charlie Vindehall; David Eriksson; [2020]
    Nyckelord :Active investing; Growth; Momentum; Efficient Market hypothesis; German automotive sector; CAPM; Alpha; Sharpe ratio;

    Sammanfattning : Active management funds are associated with higher transaction costs, which is something that has been acknowledged for a long time. The question is whether these costs can compensate with a higher return. This paper investigates how two active strategies, momentum and growth investing, have performed in relation to a passive index. LÄS MER