Sökning: "Asset price volatility"

Visar resultat 1 - 5 av 61 uppsatser innehållade orden Asset price volatility.

1. 1. Beyond the Crisis: A Safe Haven Analysis : Empirical Insights into the Divergence of Gold and Bonds for Portfolio Hedging

   Kandidat-uppsats, Umeå universitet/Företagsekonomi

   Författare :Anthony Baugi; Eugene Zhang; [2024]
   Nyckelord :Gold; Bonds; Safe Haven; Hedging; US Treasury; Volatility; Covid; Portfolio Theory; Asset Dynamics; Fiscal Policy; Monetary Policy; Financial Crisis; Asset Management; Risk Management; Portfolio Risk;

   Sammanfattning : Purpose: This thesis investigates the relationship concerning traditional safe haven assets, gold and US 10-year treasury bonds during periods of market instability, specifically during the economic concerns raised by the COVID-19 pandemic. It assesses the hedging and safe haven properties of these assets and their dynamic nature throughout two periods of unconventional monetary and fiscal policy measures by the Federal Reserve & US Congress respectively. LÄS MER

3. 2. An Attempt at Pricing Zero-Coupon Bonds under the Vasicek Model with a Mean Reverting Stochastic Volatility Factor

   Master-uppsats, KTH/Matematik (Avd.)

   Författare :Benjamin Neander; Victor Mattson; [2023]
   Nyckelord :Zero-coupon bond; Vasicek model; Two-factor interest rate model; Stochastic volatility.; Nollkupongobligation; Vasicek model; Räntemodell med två faktorer; Stokastisk volatilitet.;

   Sammanfattning : Empirical evidence indicates that the volatility in asset prices is not constant, but varies over time. However, many simple models for asset pricing rest on an assumption of constancy. LÄS MER

4. 3. Financing the Nordic Energy Transition: An Empirical Analysis of Leverage, Pricing and Return Expectations in Renewable Energy Transactions

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

   Författare :Franziska Grünthaner; [2023]
   Nyckelord :Buyouts; Leverage; Valuation; Renewable Energy; Infrastructure Investment;

   Sammanfattning : This study examines whether leverage and pricing in transactions of renewable energy infrastructure assets are impacted by the same factors that have been found to determine financial structures in buyout transactions. It primarily draws on a proprietary data set of 261 wind and solar photovoltaic (PV) transactions in the Nordics between 2011 and 2023 and explores the effect of acquirer-, asset-, and industry-specific characteristics as well as time-varying variables on leverage, pricing and return expectations. LÄS MER

5. 4. Navigating through Economic storms - A comparative analysis of stock market responses to recent European recessions

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

   Författare :Agnes Jahn; Amanda Rashid; [2023]
   Nyckelord :Business cycles; Stock market; Price Dividend Ratio; Recession Variance Ratio; Swedish Stock market;

   Sammanfattning : The study investigates the interplay between stock market behaviour and recessions in the Northern and Western European area, focusing on data from three different recessions in five countries since 1986. First, unadjusted stock prices show some predictive power in anticipating financial crises, while time-aggregated stock prices do not. LÄS MER

7. 5. Predicting Liquidity In The Cryptocurrency Market: Testing The Invariance Theory On A New Market Structure And Asset Class

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

   Författare :Charles Gyllhamn; Jacob Winberg; [2022]
   Nyckelord :Market microstructure; invariance; bid-ask spread; liquidity; Cryptocurrencies;

   Sammanfattning : By integrating dimensional analysis and principles of market microstructure invariance, this study documents a nearly invariant relationship between relative bid-ask spreads and illiquidity for the cryptocurrency market. The relationship is found by studying cryptocurrency trading data in two dimensions; Along a time series dimension, where data is aggregated on a daily level, and along an intraday dimension, where variables are aggregated at five-minute intervals across all trading days. LÄS MER