Sökning: "Asset Pricing Models"

Visar resultat 26 - 30 av 164 uppsatser innehållade orden Asset Pricing Models.

  1. 26. Web3 Usage and its Value for Crypto

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

    Författare :Oliver Brandtvig; August Wiking; [2022]
    Nyckelord :Cryptocurrency; Web3; Factor model; Decentralized finance; Asset pricing;

    Sammanfattning : Cryptocurrencies have grown significantly in recent years, and their role in society remains a highly debated subject. In "Common Risk Factors in Cryptocurrency," Liu, Tsyvinski, and Wu explore whether models from traditional finance can be applied to the cryptocurrency market to create successful trading strategies. LÄS MER

  3. 27. ESG: The Relationship Between “Ethical” Investing and Abnormal Returns

    Master-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Per Malm; [2022]
    Nyckelord :ESG; Abnormal Returns; High Minus Low; Asset Pricing Model; Business and Economics;

    Sammanfattning : This essay examines the relationship between ESG and abnormal returns and its implications on investing. To investigate this topic, I allocate stocks into zero-investment portfolios based on high and low ESG, using three different weighting methods, equal weighting, value weighting and portfolio optimization. LÄS MER

  4. 28. Volatility Forecasting using GARCH Processes with Exogenous Variables

    Master-uppsats, KTH/Matematisk statistik

    Författare :Ellis Larson; [2022]
    Nyckelord :Stochastic process; GARCH model; Volatility; Exogenous variables; Evaluation metrics.; GARCH; Volatilitet; Exogena variabler; Evalueringsmetriker.;

    Sammanfattning : Volatility is a measure of the risk of an investment and plays an essential role in several areas of finance, including portfolio management and pricing of options. In this thesis, we have implemented and evaluated several so-called GARCH models for volatility prediction based on historical price series. LÄS MER

  5. 29. Bermudan Option Pricing using Almost-Exact Scheme under Heston-type Models

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

    Författare :Mara Kalicanin Dimitrov; [2022]
    Nyckelord :Almost Exact Scheme; Monte Carlo; Bermudan Options; Least Squares Monte Carlo; CIR; Heston Model; Double Heston Model; Stochastic Volatility;

    Sammanfattning : Black and Scholes have proposed a model for pricing European options where the underlying asset follows a so-called geometric Brownian motion which assumes constant volatility. The proposed Black-Scholes model has an exact solution. LÄS MER

  7. 30. A New Value Premium : Value Creation in the Swedish stock market

    Kandidat-uppsats, Stockholms universitet/Företagsekonomiska institutionen

    Författare :Lemar Jalili; Samuel Höög; Simon Blank; [2022]
    Nyckelord :ROIC; WACC; ROIC-WACC Spread; Fama and French three-factor model; Asset-pricing models; Value Premium; Factor models; Value creation.;

    Sammanfattning : Value creation in any stock market is a highly discussed topic with an abundant amount of generalized models aiming to predict future returns. Although no such tool exists yet there are, however, acknowledged models from peer-reviewed journals that have received a lot of attention over the years in examining company performance. LÄS MER