Sökning: "Jakob Bengtsson Ekström"

Hittade 2 uppsatser innehållade orden Jakob Bengtsson Ekström.

1. 1. Momentum in Sweden: Past Returns and Continuing Overreaction

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

   Författare :Jakob Bengtsson Ekström; Carl Elfving; [2017]
   Nyckelord :Momentum; Trading Volume; Self-Attribution Bias; Continuing Overreaction; OMX Stockholm;

   Sammanfattning : Comparing the performance of a traditional long-short momentum trading strategy to one based on a measure for continuing overreaction on OMXS 1997-2016, this study shows that traditional momentum only generates significant profits in the short-term. On the contrary, the continuing overreaction approach provides investors with significant profits for a variety of different holding- and formation periods, mainly attributable to its ability to pick winners. LÄS MER

3. 2. Implementation of Heston-Nandi GARCH model on OMXS30

   Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Oscar Sjögren; Jakob Bengtsson Ekström; [2015]
   Nyckelord :Financial Crisis; Heston and Nandi; HN-GARCH; OMXS30; Option Pricing.; Business and Economics;

   Sammanfattning : This paper evaluates the performance of Heston and Nandi’s closed form option pricing model (2000) on the OMXS30 (Swedish stock index), pre and post the financial crisis. The main purpose is to investigate if the more realistic assumptions of Heston and Nandi yield more accurate price estimates, than the computationally more simplistic Black-Scholes model. LÄS MER