Sökning: "ICAPM"

Hittade 2 uppsatser innehållade ordet ICAPM.

  1. 1. The Uncertainty of Risk - Volatility of Volatility in the Swedish Equity Market

    Master-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Ali Khanzadi; Fredrik Elliot; [2016]
    Nyckelord :Uncertainty; Volatility of Volatility; Aggregate risk factors; ICAPM; Business and Economics;

    Sammanfattning : In addition to market volatility, a stylized theoretical model and recent empirical findings suggests the existence of a premium for market volatility of volatility. By developing seven different measures of volatility of volatility and through the method of principal component analysis, we investigate if this aggregate uncertainty is priced in the Swedish equity market. LÄS MER

  2. 2. The Euro's Effect on Cross-Border Portfolio Investments in the Eurozone

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

    Författare :Henrik Bergh; Robert Johansson; [2007]
    Nyckelord :International asset allocation; Cross-border investment; Common currency effect; Gravity model; Euro;

    Sammanfattning : The introduction of the euro as a common currency represented a major step in the ongoing European integration process, with major implications for financial markets. This paper examines to what extent the euro has increased cross-border portfolio investments within the Eurozone, using newly released CPIS data. LÄS MER