Sökning: "Asset Pricing Models"

Visar resultat 41 - 45 av 164 uppsatser innehållade orden Asset Pricing Models.

  1. 41. Implied volatility with HJM–type Stochastic Volatility model

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

    Författare :Thi Diu Cap; [2021]
    Nyckelord :Implied volatility surface; stochastic volatility model; HJM framework;

    Sammanfattning : In this thesis, we propose a new and simple approach of extending the single-factor Heston stochastic volatility model to a more flexible one in solving option pricing problems.  In this approach, the volatility process for the underlying asset dynamics depends on the time to maturity of the option. LÄS MER

  3. 42. The Fama-French Asset Pricing Models: Emerging Markets

    Master-uppsats, Uppsala universitet/Nationalekonomiska institutionen

    Författare :Henrik Claesson; [2021]
    Nyckelord :;

    Sammanfattning : The purpose of this thesis is to evaluate the performance of the Fama-French Three-factor, Five-factor and Six-factormodel using stock market returns from the emerging markets. The sample has been retrieved from the Kenneth R. French Data Library and contains data from 26 countries covering July 1992 to July 2021. LÄS MER

  4. 43. Replicating the retailers' trading imbalance anomaly : A quantitative study about excess return opportunities on Swedish Small Cap listed firms

    Master-uppsats, Uppsala universitet/Företagsekonomiska institutionen

    Författare :Erik Kroon; Tom Karlsson; [2021]
    Nyckelord :retailers; rrading; imbalances; anomaly; anomalies; replicating; broker statistics; asset pricing models; CAPM; Fama and MacBeth;

    Sammanfattning : Previous research conducted on the US markets has found that retailers' trading imbalances can contribute to excess return opportunities, especially on Small Cap stocks. Therefore, we argue that this can be seen as an anomaly. However, anomalies that are found historically may not tell the whole truth. LÄS MER

  5. 44. Volatility Forecasting Performance of GARCH Models : A Study on Nordic Indices During COVID-19

    Master-uppsats, Umeå universitet/Nationalekonomi

    Författare :Ludwig Schmidt; [2021]
    Nyckelord :;

    Sammanfattning : Volatility forecasting is an important tool in financial economics such as risk management, asset allocation and option pricing since an understanding of future volatility can help professional and private investors minimize their losses. The purpose of this paper is to investigate the volatility forecasting performance of symmetric and asymmetric GARCH models on Nordic indices during COVID-19. LÄS MER

  7. 45. Responsible Investing: Costs and Benefits. A Cross-Country Study in Europe.

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Shayan Meskinimood; [2021]
    Nyckelord :Responsible investing; Environmental awareness; Portfolio performance; ESG-Sharpe Ratio frontier; ESG-adjusted CAPM.; Business and Economics;

    Sammanfattning : This study employs the ESG-Sharpe Ratio frontiers framework and the ESG-adjusted CAPM model, introduced by Pedersen et al. (2020), to identify the costs and benefits of responsible investing and investigate the relationship between the environmental, social, and governance (ESG) issues and portfolio performance in different countries across Europe. LÄS MER