Sökning: "Asset Pricing Models"
Visar resultat 21 - 25 av 164 uppsatser innehållade orden Asset Pricing Models.
21. Financial Modelling Using Fractional Processes And The Wiener Chaos Expansion
Master-uppsats, KTH/Matematik (Avd.)Sammanfattning : The aim of this thesis is to simulate stochastic models that are driven by a fractional Brownian motion process and to apply these methods to financial applications related to yield rate and asset price modelling. Several rough volatility processes are used to model the asset price and yield dynamics. LÄS MER
22. Deep learning, LSTM and Representation Learning in Empirical Asset Pricing
Master-uppsats, KTH/Skolan för elektroteknik och datavetenskap (EECS)Sammanfattning : In recent years, machine learning models have gained traction in the field of empirical asset pricing for their risk premium prediction performance. In this thesis, we build upon the work of [1] by first evaluating models similar to their best performing model in a similar fashion, by using the same dataset and measures, and then expanding upon that. LÄS MER
23. ESG - Värdedrivare eller reglering
Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionenSammanfattning : This thesis aim to evaluate how sustainability in terms of ESG-ratings affect portfolio performance. A portfolio strategy sorting stocks solely on ESG-ratings from MSCI will be evaluated with financial performance measures and regression analysis. Furthermore, the authors will use a quantitative method and incorporate stocks from the S&P 500. LÄS MER
24. Mispricing of Climate Risk
Magister-uppsats, Lunds universitet/Företagsekonomiska institutionenSammanfattning : Purpose: Study the relationship between stock returns and GHG emissions regarding a risk premium related to greenness. This by using GHG emissions estimated by Bloomberg rather than companies self-reported estimates. Methodology: The study conducts a time-invariant model by cross-sectional OLS regression to estimate the risk premium for greenness. LÄS MER
25. Stock Market Volatility in the Context of Covid-19
Magister-uppsats, Jönköping University/IHH, FöretagsekonomiSammanfattning : The global economy has been severely impacted during the Covid-19 period. The U.S. stock market has also experienced greater volatility. LÄS MER