Sökning: "Macroeconomic exposure"

Visar resultat 1 - 5 av 24 uppsatser innehållade orden Macroeconomic exposure.

  1. 1. Fund Managers' Awareness of Announcement Premiums: A Study on Fund Managers' Investment Decisions

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

    Författare :Thomas Paal; Anton Svensson; [2023]
    Nyckelord :Mutual Funds; Earnings Announcement Premium; Macroeconomic Announcement Premium; Decreasing Exposure; Fund Outflows;

    Sammanfattning : In this paper, we interview fund managers of actively managed Swedish mutual funds to understand how they trade around earnings announcements. Based on an academic paper that we use as the basis for our paper, the authors of the paper find that fund managers on average tend to decrease their exposure to stocks ahead of earnings announcements, even though there is a significantly increased risk-reward and earnings announcement premium to earn ahead of the announcements. LÄS MER

  3. 2. Portfolio Risk Modelling in Venture Debt

    Master-uppsats, KTH/Matematisk statistik

    Författare :John Eriksson; Jacob Holmberg; [2023]
    Nyckelord :Startup Default Probability; Venture Debt; Gaussian Copula; Value-at-Risk; Expected Shortfall; Exposure at Default; Loss Given Default; Forecast; Linear Dynamic System; ARIMA Time Series; Monte Carlo Simulation; Linear Regression; Central Limit Theorem;

    Sammanfattning : This thesis project is an experimental study on how to approach quantitative portfolio credit risk modelling in Venture Debt portfolios. Facing a lack of applicable default data from ArK and publicly available sets, as well as seeking to capture companies that fail to service debt obligations before defaulting per se, we present an approach to risk modeling based on trends in revenue. LÄS MER

  4. 3. Bostadsrättspriser i Sverige : En paneldatastudie över bestämmandefaktorer för bostadsrättspriser utveckling i Sverige 2000-2020

    Kandidat-uppsats, Linköpings universitet/Nationalekonomi; Linköpings universitet/Filosofiska fakulteten

    Författare :Magnus Brolin; Alva Westh; [2021]
    Nyckelord :Real estate prices; Expansionary monetary policy; Regulatory measures; Quantitative easing; Debt to equity ratio; Bostadsrättspriser; Expansiv penningpolitik; Regulatoriska åtgärder; Kvantitativa lättnader; Skuldsättning;

    Sammanfattning : Background: The last decades there has been a significant increase in tenant-owned real estate prices in Sweden, which has increased the risk exposure to price fluctuations in the society. Most studies have examined how the determining factors have affected the price development. LÄS MER

  5. 4. “Smart Money” in a bear market? : Swedish active equity mutual funds’ ability to add value towards investors in the bear market Q1 2020

    Kandidat-uppsats, Stockholms universitet/Företagsekonomiska institutionen

    Författare :Mattias Löfvenberg; Simon Pålsson Högström; [2020]
    Nyckelord :;

    Sammanfattning : It is well-established by an abundance of previous empirical work presenting evidence that the average active equity mutual fund manager underperforms their benchmark net of expenses persistently over longer time-horizons. Active fund managers have the possibility to invest smart by forecasting the market and change their exposure to the market in regard of macroeconomic events to protect their portfolios violating the theory of an efficient market. LÄS MER

  7. 5. A Return Maximizing Strategy in Market Rebounds for Swedish Equity Funds

    Kandidat-uppsats, KTH/Matematisk statistik

    Författare :Carl Sävendahl; Erik Flodmark; [2019]
    Nyckelord :Applied Mathematics; Multiple Linear Regression; Swedish Equity Funds; Macroeconomics; Market Rebound; Fund Performance; Stocks; Tillämpad Matematik; Multipel Linjär Regression; Svenska Aktiefonder; Makroekonomi; Market Rebound; Fondavkastning; Aktier;

    Sammanfattning : The growing interest in savings on the financial markets implicates that the competition is expanding and managers of Swedish equity funds need to create shareholder value, independent of the macroeconomic situation. The Swedish financial market experienced a rapid rebound during the first quarter of 2019, following the plunge in the preceding quarter. LÄS MER