Sökning: "Asset Pricing Models"
Visar resultat 16 - 20 av 164 uppsatser innehållade orden Asset Pricing Models.
16. Navigating in the ESG score jungle- A cross-sectional approach to determine the ESG risk factor
Master-uppsats, Göteborgs universitet/Graduate SchoolSammanfattning : This thesis examines the relationship between ESG scores and yearly excess return between 2010 and 2020 on the S&P 500 Index. With a solid theoretical background regarding investor preferences, we ask whether investors accept lower returns for holding greener assets. LÄS MER
17. Artificial Intelligence for Option Pricing
Master-uppsats, Göteborgs universitet/Institutionen för matematiska vetenskaperSammanfattning : This thesis addresses the issue of vulnerable underlying assumptions used in option pricing methodology. More precisely; underlying assumptions made on the financial assets and markets make option pricing theory vulnerable to changes in the financial framework. LÄS MER
18. Pricing European Options with the Black-Scholes and Monte Carlo Methods: a Comparative Study
Kandidat-uppsats,Sammanfattning : Option pricing is a central concept in finance. Since F. Black and M. Scholes in troduced their formula for pricing options in 1973 it has been widely adopted, but it has also been proven to have some limitations in its inherent assumptions and thus subsequent performance. LÄS MER
19. How to choose green?
Kandidat-uppsats, Göteborgs universitet/Institutionen för nationalekonomi med statistikSammanfattning : This paper investigates if there is any difference between active managed funds and passive managed funds in regard to their risk-adjusted return. The thesis focuses on Swedish sustainable funds that invest in accordance with the ESG (environmental, governance and social) criteria during the time period 2011-2021. LÄS MER
20. Liquidity and its effect on asset returns
Master-uppsats, Uppsala universitet/Företagsekonomiska institutionenSammanfattning : With data covering 20 years, we test three different liquidity measures' explanatory power in explaining asset returns on the Swedish stock market, and if an illiquidity premium exists. After establishing whether an illiquidity premium exists or not, we test whether the asset pricing models CAPM and the Fama-French three-factor model can benefit from including a liquidity factor. LÄS MER