Sökning: "Asset-pricing"

Visar resultat 11 - 15 av 325 uppsatser innehållade ordet Asset-pricing.

1. 11. Avkastning och hållbarhet på fondmarknaden : En empirisk komparativ studie om hållbara aktiefonders avkastning kontra konventionella aktiefonder

   Kandidat-uppsats, Södertörns högskola/Företagsekonomi

   Författare :Ricky Backman; Henrik Sundborn; [2023]
   Nyckelord :ESG; SRI; CAPM; Capital Asset Pricing Model; Jensen’s alpha; investments; sustainability; return requirement; equity funds; sustainable equity funds; management fee; ESG; SRI; CAPM; Capital Asset Pricing Model; Jensens alpha; investeringar; hållbarhet; avkastningskrav; aktiefonder; hållbara aktiefonder; förvaltningsavgift;

   Sammanfattning : För att investerare ska placera kapital mot hållbara investeringar krävs insikt om det finns en premie som valet av hållbara aktiefonder innebär eller om dessa motsvarar eller till och med överavkastar mot konventionella fonder. I denna uppsats undersöker vi hur den riskjusterade avkastningen, mätt som Jensens alpha, ser ut för hållbara och konventionella fonder. LÄS MER

3. 12. There Is Nothing Certain But The Uncertain

   Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Hannes Thorstensson; Carl Tjernberg; [2023]
   Nyckelord :Uncertainty; Vol-of-vol; Ambiguity; Asset Pricing; Business and Economics;

   Sammanfattning : Risk and risk aversion are crucial concepts in finance. Models in finance typically assume a known probability distribution of returns, which does often not hold in reality. This papers aims to measure the uncertainty surrounding the probability distribution in equity markets and to evaluate if such uncertainty is priced. LÄS MER

4. 13. Risk Management and Sustainability - A Study of Risk and Return in Portfolios With Different Levels of Sustainability

   Master-uppsats, KTH/Matematik (Avd.)

   Författare :Magnus Borg; Lucas Ternqvist; [2023]
   Nyckelord :ESG; Value-at-Risk VaR ; Expected Shortfall ES ; Risk Management; Financial Risk; Financial Mathematics; Sustainability; Portfolio Management; Capital Asset Pricing Model CAPM ; Hållbarhet; Value-at-Risk VaR ; Expected Shortfall ES ; Riskhantering; Finansiell Risk; Finansiell Matematik; Portföljkonstruktion;

   Sammanfattning : This thesis examines the risk profile of Electronically Traded Funds and the dependence of the ESG rating on risk. 527 ETFs with exposure globally were analyzed. Risk measures considered were Value-at-Risk and Expected Shortfall, while some other metrics of risk was used, such as the volatility, maximum drawdown, tail dependece, and copulas. LÄS MER

5. 14. Empirical Asset Pricing via Machine Learning - Evidence from the Chinese stock market

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

   Författare :Bao Liu; Chuyue Huan; [2023]
   Nyckelord :Machine learning; Asset pricing model; Chinese stock market;

   Sammanfattning : This thesis builds upon existing research on the application of machine learning in asset pricing in the US and European stock markets, by incorporating unique predictive indicators specific to the Chinese stock market, to explore whether machine learning can also be successfully applied in the Chinese stock market. Empirical results show that machine learning models outperform OLS significantly in predicting A-share returns, and this conclusion also applies to different portfolios we have constructed. LÄS MER

7. 15. CARs In the Driver’s Seat: The Battle Between Capital and Stock Performance

   Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Léo Fégeant; Alice Beer; [2023]
   Nyckelord :Capital Adequacy Ratio; Capital Requirements; Stock Returns; Basel-III; Business and Economics;

   Sammanfattning : After the financial crisis of 2008, the Basel Committee on Banking Supervision created the latest Accord for capital requirements: The Basel III Accord. Basel III set higher requirements for both quantity and quality of capital, with the aim to mitigate systemic risk. LÄS MER