Sökning: "Charles Österberg"

Hittade 1 uppsats innehållade orden Charles Österberg.

  1. 1. International Volatility-Managed Equity Factors

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

    Författare :Charles Ye; Gustav Österberg; [2018]
    Nyckelord :international asset pricing; volatility-managed portfolios; volatility timing; momentum crashes;

    Sammanfattning : Recent studies show that volatility timing works well across a number of different US asset pricing factors and for 20 developed market indices. Our study expands the literature by testing the same strategy across seven equity factors on an aggregate international level as well as for five equity factors on a country level in 24 developed markets. LÄS MER