Sökning: "Asset Pricing Models"
Visar resultat 36 - 40 av 164 uppsatser innehållade orden Asset Pricing Models.
36. Principal Component Analysis and the Cross-Sectional Variation of Returns
Kandidat-uppsats,Sammanfattning : We utilize Principal Component Analysis (PCA), a dimensionality reduction technique, on a set of 142 risk factors, including macroeconomic factors, proposed in financial literature to construct factor models with high explanatory powers when analysing the cross-sectional variation of portfolio returns. We apply a Fama and Macbeth (1973) two-pass regression to estimate risk premia commanded by our principal components. LÄS MER
37. Performance Evaluation of Swedish and German Actively Managed Mutual Funds
Kandidat-uppsats, Göteborgs universitet/Institutionen för nationalekonomi med statistikSammanfattning : There are many studies examining the performance of actively managed mutual funds in different markets. The results of these studies vary depending on the used model and market. LÄS MER
38. Pandemic resilience and stock returns: asset pricing during the Covid-19 using the Fama French models
Magister-uppsats, Lunds universitet/Nationalekonomiska institutionenSammanfattning : The year of 2020 was marked with an unprecedented outbreak of Covid-19 virus and a global pandemic. Not all businesses across various industries have been equally affected. LÄS MER
39. By Vice or Virtue: Does it Pay Off to Sin During Market Downturns?
Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionenSammanfattning : This paper investigates sin stock characteristics through relative return performance compared to the global market index MSCI World, defining stock defensiveness towards market movements (i.e. recession resistance) and abnormal amounts of excess returns. LÄS MER
40. Pricing Complex derivatives under the Heston model
Master-uppsats, KTH/Matematik (Avd.)Sammanfattning : The calibration of model parameters is a crucial step in the process of valuation of complex derivatives. It consists of choosing the model parameters that correspond to the implied market data especially the call and put prices. LÄS MER