Sökning: "IVOL"

Visar resultat 1 - 5 av 6 uppsatser innehållade ordet IVOL.

1. 1. Revisiting the Idiosyncratic Volatility Puzzle and MAX Effect in European Equity Markets

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

   Författare :David Böckling; Jurgis Druktenis; [2023]
   Nyckelord :Idiosyncratic volatility; Fama-French three-factor model; MAX effect; European equity markets; Asset pricing anomalies;

   Sammanfattning : In light of traditional financial theory's argument that firm-specific risk should not impact future returns, the findings of the Idiosyncratic Volatility (IVOL) puzzle, as well as the Maximum Daily Returns (MAX) effect, have sparked a vibrant academic debate. Using data from January, 1993, to December, 2022, this paper presents European aggregate and country-level evidence at the intersection between the two asset pricing anomalies. LÄS MER

3. 2. Evaluation of the iterative kilovoltage cone-beam computed tomography reconstruction method for the Varian TrueBeam system

   Master-uppsats,

   Författare :Tamana Haidari; [2022-03-18]
   Nyckelord :Medical physics; FDK algorithm; iterative algorithm; CBCT; image quality;

   Sammanfattning : Introduction: Radiotherapy is used to treat patients with various types of cancer, where linear accelerators produce the radiation beam used for the treatment. Before each treatment fraction, the patient needs to be correctly positioned according to the treatment plan. LÄS MER

4. 3. The Effect of Idiosyncratic Volatility and the Role of Investors' Sentiment in the Swedish Stock Market

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

   Författare :Andrea Ricci; [2017]
   Nyckelord :Arbitrage risk; Arbitrage asymmetry; Idiosyncratic volatility effect; Swedish stocks; Investors sentiment;

   Sammanfattning : The thesis investigates the presence of arbitrage risk and arbitrage asymmetry, and their relation with investors' sentiment, in the Swedish stock market. By assuming that stocks' idiosyncratic volatility (IVOL) translates into arbitrage risk, the study analyzes the effects of IVOL on subsequent returns for the OMX Stockholm 30 constituents. LÄS MER

5. 4. Winning with IVOL

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

   Författare :Anton Kristiansson; Sebastian Vogel; [2015]
   Nyckelord :idiosyncratic risk; asset pricing; stochastic discount factor; limits to arbitrage; IVOL;

   Sammanfattning : Idiosyncratic volatility has an increasing effect on returns. This increasing effect is strongest for small stocks, which can be explained by investors' underdiversification. Previous studies that found a decreasing effect did not control for the low-beta anomaly. LÄS MER

7. 5. Idiosyncratic Risk and Expected Stock Returns: An Empirical Investigation on the GIPS Countries

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

   Författare :Nadir Luvisotti; [2013]
   Nyckelord :Idiosyncratic Risk; CAPM; Fama-French three factor model; GIPS equity markets;

   Sammanfattning : The thesis aims to provide a framework for understanding how the idiosyncratic risk (IVOL) may affect the returns of individual stocks in the context of the Capital Asset Pricing Model and the Fama-French three factor model. We examine the Greek, Italian, Portuguese and Spanish (GIPS) Equity Markets. LÄS MER