Sökning: "Macbeth"

Visar resultat 1 - 5 av 48 uppsatser innehållade ordet Macbeth.

  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

  2. 2. "No good being a witch unless you let people know" : The importance of performance in Terry Pratchett's Wyrd Sisters

    Kandidat-uppsats, Karlstads universitet/Institutionen för språk, litteratur och interkultur (from 2013)

    Författare :Maria Sköld; [2022]
    Nyckelord :Pratchett; Terry Pratchett; Discworld; Wyrd Sisters; performance; performativity; metafiction; parody; fantasy; theatre; Pratchett; Terry Pratchett; Skivvärlden; Häxkonster; roller; performativitet; metafiktion; parodi; fantasy; teater;

    Sammanfattning : In this analysis of Terry Pratchett’s Wyrd Sisters, I argue that performance of the witch is the most important part of witchcraft on Discworld, and, indeed, what drives the story. To underpin this position, I understand Wyrd Sisters as a work of metafiction and parody, examine witch tropes and stories on Discworld and draw parallels to the weird sisters of Shakespeare's Macbeth. LÄS MER

  3. 3. Principal Component Analysis and the Cross-Sectional Variation of Returns


    Författare :Armin Ramovic; Mikael Åkerman; [2021-06-23]
    Nyckelord :Principal Component Analysis; PCA; principal components; cross-sectional variation of returns; risk premia; asset pricing; demensionality reduction; risk factors; machine learning;

    Sammanfattning : We utilize Principal Component Analysis (PCA), a dimensionality reduction technique, on a set of 142 risk factors, including macroeconomic factors, proposed in financial literature to construct factor models with high explanatory powers when analysing the cross-sectional variation of portfolio returns. We apply a Fama and Macbeth (1973) two-pass regression to estimate risk premia commanded by our principal components. LÄS MER

  4. 4. Replicating the retailers' trading imbalance anomaly : A quantitative study about excess return opportunities on Swedish Small Cap listed firms

    Master-uppsats, Uppsala universitet/Företagsekonomiska institutionen

    Författare :Erik Kroon; Tom Karlsson; [2021]
    Nyckelord :retailers; rrading; imbalances; anomaly; anomalies; replicating; broker statistics; asset pricing models; CAPM; Fama and MacBeth;

    Sammanfattning : Previous research conducted on the US markets has found that retailers' trading imbalances can contribute to excess return opportunities, especially on Small Cap stocks. Therefore, we argue that this can be seen as an anomaly. However, anomalies that are found historically may not tell the whole truth. LÄS MER

  5. 5. Is it really worth it?

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Adam Grönvall; Kivanç Kiray; [2020]
    Nyckelord :Procyclicality premium; Industrial production; Fama Macbeth 2-stage regression; Fama French risk factors; IPI.; Business and Economics;

    Sammanfattning : Previous research shows that there exists a procyclicality premium in some large economies like the U.S. However, this study investigates if a procyclicality premium is present in a small open economy like Sweden as well as in some developed countries around the world due to the size of the Swedish economy. LÄS MER