Sökning: "Bill Sawarell"

Hittade 2 uppsatser innehållade orden Bill Sawarell.

1. 1. Pairs Trading in European Equity Markets

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

   Författare :Bill Sawarell; Can Inci; [2014]
   Nyckelord :Pairs trading; Convergence trading; Statistical arbitrage; Distance method; Alpha;

   Sammanfattning : In this paper we use a known pairs trading strategy and examine its performance in three separate European equity markets using daily data over the 20-year period between January 1994 and December 2013. We find that the strategy produces positive average excess returns in all three markets, and that alphas are significantly positive both when controlling for market exposure using the CAPM and when controlling for exposure to the European Fama-French factors. LÄS MER

3. 2. Are Forward Contracts on Swedish Stocks Correctly Priced on NASDAQ OMX Nordic?

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

   Författare :Bill Sawarell; Sebastian Berggren; [2012]
   Nyckelord :Forward contracts; NASDAQ OMX Nordic; Mispricing; Liquidity;

   Sammanfattning : This paper examines if forward contracts on Swedish stocks are correctly priced on NASDAQ OMX Nordic. We compute what prices are predicted to be according to financial theory and compare these to actual prices observed in the marketplace. LÄS MER