Sökning: "Christoffer Sjöström"

Hittade 2 uppsatser innehållade orden Christoffer Sjöström.

1. 1. Nonparametric Asset Pricing with Conditioning Information

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

   Författare :Christoffer Sjöström; Dominik Schmitz; [2018]
   Nyckelord :Conditional Asset Pricing; Nonparametric SDF; Nonlinear Pricing Kernel; Stochastic Discount Factor; Time-varying Betas;

   Sammanfattning : This study sets out to be the very first in introducing the notion of a nonlinear pricing kernel in conditional asset pricing for the Swedish equity market. By implementing a flexible nonparametric methodology, we are able to conduct tests that are completely free from functional form specifications of time-varying betas, risk premia and the stochastic discount factor. LÄS MER

3. 2. Corporate Bond Yield Spreads: A Search-based Sentiment Approach

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

   Författare :Johan Pettersson; Christoffer Sjöström; [2016]
   Nyckelord :Investor sentiment; Corporate bonds; Yield spreads; Mispricing; Reversal trends;

   Sammanfattning : This study examines the effect of investor sentiment, as measured by internet search activity, on corporate bond yield spreads. Specifically, we predict systematic reversal patterns as a result of sentiment-induced mispricing: In pessimistic regimes bonds appear underpriced with higher yields than indicated by fundamental values. LÄS MER