Sökning: "Bubble Asset Markets"

Hittade 5 uppsatser innehållade orden Bubble Asset Markets.

  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. Mean-Variance Portfolio Selection Accounting for Financial Bubbles: A Mean-Field Type Approach

    Master-uppsats, KTH/Matematisk statistik

    Författare :Marcus Häggbom; Shayan Nafar; [2019]
    Nyckelord :Financial bubbles; portfolio optimization; mean-variance trade-off; mean-field type optimal control; fundamental value; mean reversion; Finansiella bubblor; portföljoptimering; optimal kontroll av medelfältstyp; fundamentalt värde; medelreversion;

    Sammanfattning : The phenomenon of financial bubbles is known to have impacted various markets since the seventeenth century. Such bubbles are known to form when the market drastically overvalues the price of an asset, causing its market value to increase hyperbolically, only to suddenly collapse once the untenable perceived future prospects of the asset are realized. LÄS MER

  4. 3. The Predictability of Speculative Bubbles : An examination of the log-periodic power law model

    Magister-uppsats, Linköpings universitet/Nationalekonomi; Linköpings universitet/Filosofiska fakulteten

    Författare :Marcus Gustavsson; Daniel Levén; [2015]
    Nyckelord :Econophysics; mathematical finance; LPPL; log-periodic power law model; JLS-model; power law; speculative bubbles; bubble forecasting; modeling asset price dynamics; financial bubbles; bubbles; crashes;

    Sammanfattning : In this thesis we examine the ability of the log-periodic power law model to accurately predict the end of speculative bubbles on financial markets through modeling of asset price dynamics on a selection of historical bubbles. The methods we use are based on a nonlinear least squares estimation which yields predictions of when the bubble will change regime. LÄS MER

  5. 4. Börsnoterade fastighetsbolags finansiella situation och kapitalstruktur före och efter finanskrisen

    Kandidat-uppsats, Sektionen för ekonomi och teknik (SET)

    Författare :David Bengtsson; [2012]
    Nyckelord :real estate; capital structure; financial crisis; financial situation; börsnoterade fastighetsbolag; kapitalstruktur; finanskris; finansiell situation;

    Sammanfattning : Bakgrund och problem: Finanskrisen 2008-2009 hade sitt ursprung i överoptimistisk långivning med anknytning till fastigheter. Bostadsbubblan som hade uppstått mellan 2001-2006 i USA fick störst betydelse och kom att beskrivas som den främsta utlösande faktorn till finanskrisen. Bostadsbubblan sprack och huspriserna började falla under 2007. LÄS MER

  7. 5. Bonuses and Bubbles: an Experimental Study

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

    Författare :Inga Svinhufvud; Alexandra Nilsson; [2009]
    Nyckelord :Bubble Asset Markets; Experimental Asset Markets; Bonus; Subprime Crisis;

    Sammanfattning : We report from 15 laboratory asset markets where we examine the effect of a bonus incentive on asset bubble formation. In contrast to previous studies with similar settings, only three of our 15 markets bubble. LÄS MER