Sökning: "Henrik Stille"

Hittade 2 uppsatser innehållade orden Henrik Stille.

1. 1. The Relation between information in option prices and short term market return

   Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Henrik Stille; [2005]
   Nyckelord :option prices; implied volatility; short term return; mean reversion; implied risk neutral density function; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

   Sammanfattning : Abstract The purpose of this thesis is to analyze if implied volatility and the implied risk neutral density function can predict short term market return of the Swedish OMX-index. To study the relation between information in option prices and short term market return I perform and OLS-regression with the market return as dependent variable. LÄS MER

3. 2. Autoregressive behaviour in the stock market

   Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Henrik Stille; Joakim Salomonsson; [2005]
   Nyckelord :Market efficiency; autoregressive behavior; dispersion; earnings; volume; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

   Sammanfattning : This essay reveals relations between the autoregressive behavior in stocks and relative changes in volume, relative changes in dispersion and the release of earnings announcements. The purpose is to analyze what effect stock return, relative changes in volume, relative changes in dispersion and the release of earnings announcements have on the autoregressive behavior. LÄS MER