Sökning: "Asset pricing"

Visar resultat 1 - 5 av 338 uppsatser innehållade orden Asset pricing.

  1. 1. Fundamental Indexation Smart Beta Strategy on the Swedish Market- Enhancing risk-adjusted performance with Fundamental Indexation

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Tommy Saliba; Philip Thulin; [2021-06-30]
    Nyckelord :Smart Beta; Fundamental Indexation; CAPM; EMH; Value; Quality; Momentum; Low Volatility; Factor Investing;

    Sammanfattning : MSc in Finance.... LÄS MER

  2. 2. Q-factor Investment Approach: Evidence from the Swedish Equity Market

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Jesper Lundgren; Robin Olin; [2021-06-30]
    Nyckelord :Asset pricing; q-factor model; Swedish equity market;

    Sammanfattning : MSc in Finance.... LÄS MER

  3. 3. Performance of Small- and Large-cap stock portfolios- The importance of market anomalies across business cycles

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Erik Hulth; [2021-06-30]
    Nyckelord :Stock performance; Market anomalies; Asset pricing; Portfolio sorting techniques; Factor-portfolio sorting techniques; Value effect; Size effect; Momentum effect; Temporal influences; Business cycles; GDP-gap; Single-and Multi- Factor models; CAPM; Fama-French Three-Factor model; Carhart Four-Factor model; Risk-adjusted equity returns; Sharpe Ratio; Jensen´s alpha; NASDAQ OMX and NYSE;

    Sammanfattning : MSc in Finance.... LÄS MER

  4. 4. The influence of EPS and DPS on share price movements in Nordic tenbaggers

    Kandidat-uppsats,

    Författare :Jakob Häger; Oscar Karlsson; [2021-06-28]
    Nyckelord :Firm performance; Asset pricing; Earnings per share; Dividend per share; Share price; Stocks; Nordics; Tenbaggers;

    Sammanfattning : This study investigates the influence of earnings per share (EPS) and dividend per share(DPS) on the share price movements of tenbaggers in the Nordic region. The term tenbagger was first coined by the famous investor Peter Lynch and it refers to shares that have generated a return of over 900 percent. LÄS MER

  5. 5. Principal Component Analysis and the Cross-Sectional Variation of Returns

    Kandidat-uppsats,

    Författare :Armin Ramovic; Mikael Åkerman; [2021-06-23]
    Nyckelord :Principal Component Analysis; PCA; principal components; cross-sectional variation of returns; risk premia; asset pricing; demensionality reduction; risk factors; machine learning;

    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