Sökning: "David Öhlund"

Hittade 2 uppsatser innehållade orden David Öhlund.

  1. 1. The Momentum Premium: An Intermediary Asset Pricing Perspective

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

    Författare :Simon Eliasson; David Öhlund; [2021]
    Nyckelord :Momentum; Intermediary Asset Pricing; Time-Varying Risk;

    Sammanfattning : We attempt to explain the momentum premium using time-varying risk under the frictions of financial intermediation. Our conditional CAPM model reveals positive covariation between momentum's beta and the expected market risk premium. LÄS MER

  2. 2. The Swedish Value Premium and Disasters: The Missing Piece of the Puzzle?

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

    Författare :Majed Habash; David Öhlund; [2019]
    Nyckelord :The Value Premium; Disasters; Time-varying Risk;

    Sammanfattning : This paper examines the value premium puzzle in Sweden for the period 2002 - 2016 and attempts to explain the puzzle by accounting for time-varying risk exposure with the inclusion of a proxy for financial disasters risk. The value premium is one of the most persistent financial anomalies and the reasons for its existence have been a hot topic for debate over the past years, with more recent research suggesting that it is a form of compensation for higher exposure to harsh economic downturns, or disasters. LÄS MER