Sökning: "Henriksson and Merton"

Visar resultat 1 - 5 av 7 uppsatser innehållade orden Henriksson and Merton.

  1. 1. Empirical Study on the Performance of Hedge Funds in China

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

    Författare :Weiwei Zhang; [2020]
    Nyckelord :Hedge funds; China; Performance; Persistence; Uncertainty;

    Sammanfattning : China is one of the most popular emerging markets, and the fund management industry has experienced rapid growth during the past decade, especially private funds. Although the regulatory regimes were underdeveloped at first, the government realized that it was important to improve the related regulation to address this problem. LÄS MER

  3. 2. Good For Goodness Sake? An evaluation of the performance of ethical funds in Sweden

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för nationalekonomi

    Författare :Linn Egeland; Linnea Jahnson; [2015]
    Nyckelord :Performance evaluation; Ethical investments; Mutual funds; Socially responsible investing;

    Sammanfattning : Using a survivorship-bias free dataset, the fund performance and market timing of 95 Swedish ethical mutual funds and 237 conventional mutual funds between 2004 and 2014 is compared in order to investigate if there is an additional cost associated with ethical investments. For the evaluation of fund performance the CAPM single-index model as well as the Carhart (1997) 4-factor model is applied. LÄS MER

  4. 3. Kreditbetyg Vs. Modifierad Merton - En jämförelse av två kreditriskmått

    Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Victor Henriksson; [2013]
    Nyckelord :Kreditbetyg; Modifierad Merton; Standard Poor ́s; Rangkorrelation; Jämförelse; Business and Economics;

    Sammanfattning : The purpose of this bachelor ́s thesis is to make a comparison between the two measurements of credit risk ”Distance to default” with a modified Merton model and credit ratings from Standard & Poor ́s. The thesis investigates how well the measures agree with one another by using Spearman ́s rank correlation coefficient. LÄS MER

  5. 4. Svenska fonder - En prestationsutvärdering

    Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Zakarias Bergstrand; Alexander Weinhagen; [2012]
    Nyckelord :Jensen’s alfa; Tracking-Error; Modigliani-squared; Henriksson and Merton; Spearman’s Rank Correlation Coefficient; Business and Economics;

    Sammanfattning : We have in this thesis studied 131 Swedish mutual funds during the period of 2007-01-01 until 2012-01-01 and the period of 2010-01-01 until 2012-01-01 where the mutual funds in majority have their assets placed in the Swedish market. We have chosen to do a performance evaluation by using Jensen´s alfa, Tracking-Error, Modigliani-squared and Henriksson and Merton´s test for the selection and timing ability. LÄS MER

  7. 5. China-focused Mutual Funds: A Study of Performance, Selectivity and Market Timing

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

    Författare :Amanda Ulfsdotter; Rebecca Samuelsson; [2011]
    Nyckelord :mutual funds; selectivity; market timing; unconditional models; conditional models;

    Sammanfattning : This study examines the performance of 36 China-focused mutual funds advertised and sold in Sweden. We use Jensen's alpha, the Treynor-Mazuy model and the Henriksson-Merton model in order to evaluate overall performance, stock selection abilities and market timing skills of the fund managers. LÄS MER