Sökning: "Kelly Stockholm"

Visar resultat 1 - 5 av 11 uppsatser innehållade orden Kelly Stockholm.

  1. 1. Training AI for asset pricing

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

    Författare :Axel Jernbäcker; Henrik Angelstig; [2022]
    Nyckelord :AI; Machine learning; Asset pricing; stock price prediction; time-weighting;

    Sammanfattning : This bachelor's thesis examines how a machine learning program's ability to predict stock prices is affected by how the data on which the program is trained has been time-weighted. Building upon the work by Gu, Kelly, and Xiu (2020), we examine how the same machine learning program performs when its training data is time-weighted using one of three methods: exponential weighting, linear weighting, or cutoff. LÄS MER

  3. 2. Everything is Relative: Underlying Mechanisms Affecting Investor Reactions to Contrast Effects in the US Financial Market

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

    Författare :Wilma Östman; Emma Lexhed; [2021]
    Nyckelord :Contrast Effect; Earning Announcement; Earning Surprise; The Relative Level of Market Strength; Loss Aversion;

    Sammanfattning : Contrast effects influence our perception of information because it biases us to perceive matters relative to each other and not by their absolute values. This paper explores contrast effects in a financial setting. Contrasts are measured by comparing earning news of firms with announcement dates following each other. LÄS MER

  4. 3. The effects of political uncertainty on options: An empirical study of S&P 500, Euro Stoxx 50, and S&P sectors around political events

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

    Författare :Gabriel Wannes; Nihat Anwar; [2021]
    Nyckelord :Political uncertainty; Options; Implied volatility; Sectors;

    Sammanfattning : We study options spanning political events and examine whether a price premium, associated with the political uncertainty from events, exists. First, we use recent data and replicate parts of Kelly, Pastor, and Veronesi (2016) by analysing how the price risk, variance risk, and tail risk associated with political events, affect equity options on the S&P 500 and Euro Stoxx 50 indices. LÄS MER

  5. 4. Should You Trust Reddit with Your Money? A Machine Learning Approach to Estimating Stock Returns

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

    Författare :Loise Hedberg; Olle Ribberheim; [2021]
    Nyckelord :Empirical asset pricing; Machine learning; Social Media; Market efficiency; Stock returns;

    Sammanfattning : We replicate the results of Empirical Asset Pricing via Machine Learning by Gu, Kelly, and Xiu (2020), and make an extension by using a daily interval instead of a monthly. Furthermore, we make an extension of the topic by generating data from wallstreetbets, in order to investigate whether there is explanatory value of the subreddit to predict stock returns. LÄS MER

  7. 5. Priseffekter och investeringsmöjligheter associerade med indexrevidering : En eventstudie på OMX Stockholm Benchmark Index

    Kandidat-uppsats, Uppsala universitet/Företagsekonomiska institutionen

    Författare :Alexander Frilén; Nicholas Kelly; [2019]
    Nyckelord :Priseffekt; Index; Revidering; Abnormal; Avkastning; Stockholm; Benchmark; Aktier; Investering;

    Sammanfattning : Då ett index ändrar sin sammansättning kommunicerar leverantören information till marknaden om vilka bolag som väljs in och ut ur indexet. I ett senare skede verkställer leverantören förändringarna. LÄS MER