Sökning: "Asset Pricing Models"

Visar resultat 11 - 15 av 164 uppsatser innehållade orden Asset Pricing Models.

  1. 11. Green Minus Brown: A Comparative Analysis of the Financial Performance of the ESG Factor

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

    Författare :Kevin Pettersson; Wael Makdessinaoum; [2023]
    Nyckelord :Sustainable Investing; ESG; Asset Pricing Models; ESG Ratings;

    Sammanfattning : This thesis investigates the performance of a Green-minus-Brown portfolio in the US public stock market and whether the GMB portfolio provides significant results for investors. The study also aims to investigate if the returns of the GMB portfolio are already explained by other existing factors. The research collected data from 2003 to 2022. LÄS MER

  3. 12. How Do Unexpected Changes in Interest Rates Explain the Variation of Excess Return: Testing an Extended Fama–French Five-Factor Model on the Swedish Stock Market

    Master-uppsats, KTH/Skolan för industriell teknik och management (ITM)

    Författare :Telo Johar; [2023]
    Nyckelord :Fama-French five-factor model; excess return; Swedish stock market; Fama-French five-factor model; överavkastning; svenska aktiemarknaden;

    Sammanfattning : In the realm of asset pricing models, the Fama-French five-factor model has become a foundational framework for explaining the variation of excess stock returns. However, as financial markets continue to evolve, there arises a need to explore potential extensions to capture additional sources of risk and return. LÄS MER

  4. 13. Stochastic Runge–Kutta Lawson Schemes for European and Asian Call Options Under the Heston Model

    Kandidat-uppsats, Mälardalens universitet/Akademin för utbildning, kultur och kommunikation

    Författare :Nicolas Kuiper; Martin Westberg; [2023]
    Nyckelord :Runge–Kutta Lawson scheme; Heston model; Black–Scholes model; Stochastic Differential Equation; Euler–Maruyama scheme; Midpoint scheme; Monte Carlo; European Options; Asian Options; Option pricing.;

    Sammanfattning : This thesis investigated Stochastic Runge–Kutta Lawson (SRKL) schemes and their application to the Heston model. Two distinct SRKL discretization methods were used to simulate a single asset’s dynamics under the Heston model, notably the Euler–Maruyama and Midpoint schemes. LÄS MER

  5. 14. Forecasting Stock Prices Using an Auto Regressive Exogenous model

    Kandidat-uppsats, KTH/Skolan för teknikvetenskap (SCI)

    Författare :Måns Hjort; Lukas Andersson; [2023]
    Nyckelord :Bachelor thesis; Asset pricing; Quantitative finance; ARX model; OMX30; Finance; Stocks; Predictive models; Time series analysis; mathematical optimization theory; Gurobi Optimization Software;

    Sammanfattning : This project aimed to evaluate the effectiveness of the Auto Regressive Exogenous(ARX) model in forecasting stock prices and contribute to research on statisticalmodels in predicting stock prices. An ARX model is a type of linear regression modelused in time series analysis to forecast future values based on past values and externalinput signals. LÄS MER

  7. 15. Stockholm Stock Exchange and Environmental Rating – A Multifactor Analysis

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Carl Helldén; Julia Lamers; [2022-06-29]
    Nyckelord :ESG; Environmental; asset pricing models; screening strategies;

    Sammanfattning : The thesis investigates if investors can generate positive abnormal performance by investing in Environmental high-rated stocks on the Stockholm stock exchange based on three screening strategies; positive, negative and best-in-class for value-weighted, long-only and long-short portfolios. The sample is between 2010-2020, using CAPM, Fama-French three factor model and Carhart four factor model. LÄS MER