Avancerad sökning

Visar resultat 1 - 5 av 6 uppsatser som matchar ovanstående sökkriterier.

  1. 1. Volatility-managed portfolios in the international markets

    Master-uppsats, Stockholms universitet/Finansiering

    Författare :Soroush Hasanpour; Emil Adamsson; [2022]
    Nyckelord :Financial Markets; Asset-pricing; asset pricing; Equity; Equity Markets; Volatility; Volatility-management; international markets; Volatility pricing; Pricing anomalies;

    Sammanfattning : 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

  3. 2. Asset pricing and risk evaluation in the housing market : An empirical analysis of the Swedish housing market

    Master-uppsats, KTH/Fastigheter och byggande

    Författare :Panagiotis Matiakis; [2019]
    Nyckelord :Risk assessment; Swedish housing market; asset pricing; quantitative analysis; beta modelling; causal relationship; Risk analys; Svensk bostadsmarknad; tillgångsvärdering; kvantitativ analys; beta modellering; orsakssamband;

    Sammanfattning : 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

  4. 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 elektroteknik

    Författare :George Abo Al Ahad; Denis Gerzic; [2017]
    Nyckelord :Fama and Macbeth; Fama and French; Low Volatility Anomaly; Stock; Market; Portfolio Theory; CAPM; Econometrics; Expected return forecasting;

    Sammanfattning : 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

  5. 4. Identifying asset pricing bubbles: Testing for explosive behavior in the NASDAQ and STOXX 600 Europe Technology indices

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Tim Smits Van Oyen; Mathias Elmer; [2016]
    Nyckelord :Asset pricing bubble; explosive behavior; right-tailed ADF; forward recursive regression; Business and Economics;

    Sammanfattning : 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

  7. 5. Reaping the Size and Value Effects: Controlling for Pure Quality

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

    Författare :August Hansson; Carl-Henrik Källroos; [2015]
    Nyckelord :Quality; Size effect; Value effect; Trading strategy; Asset pricing;

    Sammanfattning : 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