Sökning: "Asset pricing bubble"
Visar resultat 1 - 5 av 6 uppsatser innehållade orden Asset pricing bubble.
1. Volatility-managed portfolios in the international markets
Master-uppsats, Stockholms universitet/FinansieringSammanfattning : Volatility-managed portfolios offer mixed returns in an international setting based on ex-ante information. The results of this paper further strengthen the theory that the variability of excess returns from volatility-management are more dependent on underlying investor strategy rather than differences of global markets. LÄS MER
2. Asset pricing and risk evaluation in the housing market : An empirical analysis of the Swedish housing market
Master-uppsats, KTH/Fastigheter och byggandeSammanfattning : During the recent years, the Swedish housing market has developed into a topic of major interest, both domestically and internationally. The sky-rocketing prices, the uprising demand together with the housing shortage, and the market bubble ongoing debate, have resulted in the discussion of risk being more relevant than ever before. LÄS MER
3. A Study on the Low Volatility Anomaly in the Swedish Stock Exchange Market : Modern Portfolio Theory
Kandidat-uppsats, Linköpings universitet/Nationalekonomi; Linköpings universitet/Fysik och elektroteknikSammanfattning : This study investigates, with a critical approach, if portfolios consisting of high beta stocks yields more than portfolios consisting of low beta stocks in the Swedish stock exchange market. The chosen period is 1999-2016, covering both the DotCom Bubble and the financial crisis of 2008. LÄS MER
4. Identifying asset pricing bubbles: Testing for explosive behavior in the NASDAQ and STOXX 600 Europe Technology indices
Magister-uppsats, Lunds universitet/Nationalekonomiska institutionenSammanfattning : A forward recursive estimation method is used to examine stock market data on unit root against explosive behavior as an indication of financial exuberance. Through specific dividend-stock pricing modeling, the recursive implementation of a right-tailed ADF test allows for directly testing the price index series on explosive behavior and its corresponding dividend series on non-explosive behavior. LÄS MER
5. Reaping the Size and Value Effects: Controlling for Pure Quality
C-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiSammanfattning : We investigate if small and low Market-to-Book firms have higher risk-adjusted returns when controlling for quality. We define quality characteristics as something investors should be willing to pay a higher price for, all else equal. The analysis is based on all common stocks in the Swedish stock market for year 1996- 2014. LÄS MER