Sökning: "Market Neutral Strategy"

Visar resultat 21 - 25 av 35 uppsatser innehållade orden Market Neutral Strategy.

  1. 21. Social performance and market performance of stocks : (Evidence from public listed firms in Sweden)

    Master-uppsats, Umeå universitet/Företagsekonomi

    Författare :Enideg Ayitenew Minass; Daouda Konipo; [2016]
    Nyckelord :Social performance; stock market performance; average social score; risk adjusted return; volatility; alpha; OMX Stockholm; Sweden;

    Sammanfattning : The increasing importance of corporate social responsibility with practitioners is having huge attention in the academic literature. A growing study examines the reasons why firms engage in corporate social responsibility, and how it relates to financial performance of firms. LÄS MER

  3. 22. A new approach to Pairs Trading : Using fundamental data to find optimal portfolios

    Master-uppsats, Umeå universitet/Institutionen för matematik och matematisk statistik

    Författare :Erik Jakobsson; [2015]
    Nyckelord :Pairs Trading; Co-integration; Stock market;

    Sammanfattning : Since its’ invention at Morgan Stanley in 1987 pairs trading has grown to be one of the most common and most researched strategies for market neutral returns. The strategy identifies stocks, or other financial securities, that historically has co-moved and forms a trading pair. LÄS MER

  4. 23. Pairs Trading in European Equity Markets

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

    Författare :Bill Sawarell; Can Inci; [2014]
    Nyckelord :Pairs trading; Convergence trading; Statistical arbitrage; Distance method; Alpha;

    Sammanfattning : In this paper we use a known pairs trading strategy and examine its performance in three separate European equity markets using daily data over the 20-year period between January 1994 and December 2013. We find that the strategy produces positive average excess returns in all three markets, and that alphas are significantly positive both when controlling for market exposure using the CAPM and when controlling for exposure to the European Fama-French factors. LÄS MER

  5. 24. The Black-Litterman Asset Allocation Model : An Empirical Comparison to the Classical Mean-Variance Framework

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

    Författare :Shyam Hirani; Jonas Wallström; [2014]
    Nyckelord :Black-Litterman mean-variance portfolio optimization efficient frontier sensitivity analysis high-yield strategy canonical reverse optimization equilibrium portfolio CAPM;

    Sammanfattning : Within the scope of this thesis, the Black-Litterman Asset Allocation Model (as presented in He & Litterman, 1999) is compared to the classical mean-variance framework by simulating past performance of portfolios constructed by both models using identical input data. A quantitative investment strategy which favours stocks with high dividend yield rates is used to generate private views about the expected excess returns for a fraction of the stocks included in the sample. LÄS MER

  7. 25. Att erbjuda nyheter på surfplattor i framtiden : En marknadsanalys av nyhetstidningars digitala närvaro i surfplattor

    Uppsats för yrkesexamina på avancerad nivå, KTH/Medieteknik och interaktionsdesign, MID

    Författare :Oscar Karlsson; [2014]
    Nyckelord :newspaper; market; digital; newspapers; content; news; on; tablet; tablet statistics; digitalization; business model; dagstidningsmarknaden; digitala nyhetstidningar; digitalt innehåll; surfplatta; nyheter på surfplattan; surfplattestatistik; digitalisering; av; tidningar; digital affärsmodell;

    Sammanfattning : Denna studie av den digitala marknaden för svensk dagspress är ett examensarbete utfört åt kvällstidningen Expressen. Undersökningen syftar till att utreda den strukturella marknadssituationen för svensk dagspress och dess förutsättningar rörande framtida närvaro i surfplattan. LÄS MER