Sökning: "Asset Pricing Models"

Visar resultat 31 - 35 av 164 uppsatser innehållade orden Asset Pricing Models.

  1. 31. Beta och branscher : En studie om sambandet mellan beta och avkastning inomolika branscher

    Kandidat-uppsats, Södertörns högskola/Företagsekonomi

    Författare :Andreas Flykt; Sara Åselius; [2022]
    Nyckelord :Beta; risk; CAPM; systematisk risk; avkastning; branscher;

    Sammanfattning : I denna studie analyserar forskarna det omtalade sambandet inom finansiering mellan riskoch avkastning på den svenska aktiemarknaden. Att investera i aktier är idag närasammankopplat till begreppet risk och för investerare har sambandet mellan risk ochavkastning en mycket viktig innebörd eftersom att man ständigt söker maximal avkastning tillen minimal nivå av risk. LÄS MER

  3. 32. How Do Traditional Models for Option Valuation Perform When Applied to Cryptocurrency Options?

    Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Elisabeth Molin; [2022]
    Nyckelord :Heston; Black-Scholes; Cryptocurrency; Ethereum; Bitcoin; Business and Economics;

    Sammanfattning : The market for cryptocurrencies has been known to be volatile with an asymmetrical return distribution where occasional extreme returns appear. In later years options have been introduced on the asset; but due to the characteristics of cryptocurrency returns, researchers have found it troublesome to value these options. LÄS MER

  4. 33. LEAST -SQUARE MONTE CARLO BASED OPTION PRICING OF EUROPEAN AND BERMUDAN STOCK INDEX OPTIONS

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Oscar Brink Bolin; Joel Ahnvik; [2022]
    Nyckelord :Option; Monte Carlo *; Least-square *; Black-Scholes; Merton; Heston; Bates; Mathematics and Statistics;

    Sammanfattning : On the financial markets, there are a large number of financial instruments. Two of these instruments is the European and Bermudan option, where the Bermudan option can be seen as a discrete version of the American option. Meaning, if one can price the Bermudan option one can also estimate the price of an American option. LÄS MER

  5. 34. Performance of Small- and Large-cap stock portfolios- The importance of market anomalies across business cycles

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Erik Hulth; [2021-06-30]
    Nyckelord :Stock performance; Market anomalies; Asset pricing; Portfolio sorting techniques; Factor-portfolio sorting techniques; Value effect; Size effect; Momentum effect; Temporal influences; Business cycles; GDP-gap; Single-and Multi- Factor models; CAPM; Fama-French Three-Factor model; Carhart Four-Factor model; Risk-adjusted equity returns; Sharpe Ratio; Jensen´s alpha; NASDAQ OMX and NYSE;

    Sammanfattning : This Master´s thesis investigated the importance of the market anomalies size (market capitalization), value (Book-to-Market ratio) and momentum (lagged short-term momentum) for equity returns of small- and large-cap composite stock portfolios. The study focused on two contrasting stock markets (NASDAQ OMX and NYSE) across domestic business cycles over the time-period 2006 to 2021. LÄS MER

  7. 35. The influence of EPS and DPS on share price movements in Nordic tenbaggers

    Kandidat-uppsats,

    Författare :Jakob Häger; Oscar Karlsson; [2021-06-28]
    Nyckelord :Firm performance; Asset pricing; Earnings per share; Dividend per share; Share price; Stocks; Nordics; Tenbaggers;

    Sammanfattning : This study investigates the influence of earnings per share (EPS) and dividend per share (DPS) on the share price movements of tenbaggers in the Nordic region. The term tenbagger was first coined by the famous investor Peter Lynch and it refers to shares that have generated a return of over 900 percent. LÄS MER