Sökning: "Arbitrage Pricing Theory"
Visar resultat 1 - 5 av 18 uppsatser innehållade orden Arbitrage Pricing Theory.
- Kandidat-uppsats, Göteborgs universitet/Institutionen för nationalekonomi med statistik
Sammanfattning : This thesis investigates the macroeconomic factors that affect the returns on the different portfolios in Stockholm Stock Exchange by using Arbitrage Pricing Theory (Stephen Ross 1976). We use the portfolios of Large Cap, Mid Cap, Small Cap, and All Caps. Specifically, multiple index model is used. The sample period is 2012-2017. LÄS MER
2. A Multi-Factor Stock Market Model with Regime-Switches, Student's T Margins, and Copula DependenciesMaster-uppsats, Linköpings universitet/Produktionsekonomi; Linköpings universitet/Produktionsekonomi
Sammanfattning : Investors constantly seek information that provides an edge over the market. One of the conventional methods is to find factors which can predict asset returns. In this study we improve the Fama and French Five-Factor model with Regime-Switches, student's t distributions and copula dependencies. LÄS MER
- Master-uppsats, KTH/Matematisk statistik
Sammanfattning : Over the last decades, financial markets have undergone dramatic changes. With the advent of the arbitrage pricing theory, along with new technology, markets have become more efficient. LÄS MER
Sammanfattning : According to earlier empirical studies, convexity in the U.S. treasury market is arbitrage-free priced. This paper study whether the arbitrage-free pricing of convexity held even in the financial crisis and the volatile period that followed. LÄS MER
- Magister-uppsats, Göteborgs universitet/Institutionen för nationalekonomi med statistik
Sammanfattning : This thesis examines exchange rate return factors of holding USD before and after Lehman Brothers Bankruptcy on September 15th 2008, by analysing the relationship with multiple regressions and correlation to trace any significant influence by applying the framework provided by the Arbitrage Pricing Theory, spearheaded by Chen, Roll and Ross, 1986. Thus, regressions on the exchange rate return were computed on the historical macroeconomic data. LÄS MER