Sökning: "Jean-philippe Chakbazof"

Hittade 2 uppsatser innehållade orden Jean-philippe Chakbazof.

1. 1. Comply or Die: A Study of ESG Factor Returns and Volatility in the Nordic Countries from 2016 to 2022

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

   Författare :Jean-Philippe Chakbazof; Amitesh Raghav; [2023]
   Nyckelord :ESG Factor; Nordic Compass; Fama Macbeth; Volatility Management; ESG Portfolio;

   Sammanfattning : Using corporate environmental, social and governance (ESG) reporting data from 611 publicly traded firms in the Swedish House of Finance's Nordic Compass database, we estimate stock return and volatility exposures to an ESG factor during the period 2016-2022 in the Nordics. Using a Fama-Macbeth methodology, we find that during this time in the Nordic Countries exposure to an ESG factor is compensated with a risk premium and a volatility reduction in a Fama French 4 Factor model. LÄS MER

3. 2. Bank Stock Returns and Monetary Policy Surprises: Before and After the Financial Crisis

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

   Författare :Jean-Philippe Chakbazof; Ludvig Sviberg; [2020]
   Nyckelord :Monetary Policy; FOMC Announcements; Interest Rate Surprises; Maturity Mismatch;

   Sammanfattning : Using daily bank stock data and quarterly balance sheet data, we estimate the reaction of bank stock returns and maturity mismatches to surprise changes in the federal funds rate and the slope of the yield curve on FOMC dates, before and after the financial crisis of 2008. We find that the reaction of U.S. LÄS MER