Sökning: "Mean Reversion"

Visar resultat 21 - 25 av 58 uppsatser innehållade orden Mean Reversion.

  1. 21. Utdelningars informationsvärde : En studie om utdelningars informationsvärde och påverkan av familjeägande i Sverige

    Kandidat-uppsats, Uppsala universitet/Företagsekonomiska institutionen

    Författare :Oskar Hargedahl; Haukur Andrésson; [2016]
    Nyckelord :dividend signaling theory; dividend policy; family firms; utdelningars informationsvärde; utdelningspolitik; familjeföretag;

    Sammanfattning : Denna studie undersöker förekomsten av informationsinnehåll i utdelningsförändringar i börsnoterade svenska företag under åren 2006-2015. För att besvara forskningsfrågan undersöks sambandet mellan utdelningsförändringar och framtida vinstnivåer. LÄS MER

  3. 22. Stochastic Modeling of Electricity Prices and the Impact on Balancing Power Investments

    Master-uppsats, KTH/Industriell ekonomi och organisation (Inst.)

    Författare :Richard Ruthberg; Sebastian Wogenius; [2016]
    Nyckelord :Energy investment; investment valuation; renewable energy production; electricity price modeling; long-term; combined heat and power; CHP; balancing power; intermittent renewable energy modeling; Pilipovic model; multi-factor model; sinusoidal regression; Ornstein-Uhlenbeck estimation; electricity price duration prediction; Nord Pool; Sweden electricity market; future energy systems; phasing out nuclear power; energy policy.;

    Sammanfattning : Introducing more intermittent renewable energy sources in the energy system makes the role of balancing power more important. Furthermore, an increased infeed from intermittent renewable energy sources also has the effect of creating lower and more volatile electricity prices. LÄS MER

  4. 23. Are LNG regasification facilities a financially viable investment to diversify natural gas markets? : a real option approach to investments in an LNG-regasification plant

    Master-uppsats, SLU/Dept. of Economics

    Författare :Emanuel Hult; [2016]
    Nyckelord :economics; commodities; liquified natural gas; LNG; natural gas; Monte Carlo-simulation; real option; stochastic modelling;

    Sammanfattning : This thesis looks at the value of having the option to buy gas on the world Liquified Natural Gas-market rather than just relying on one distributor via pipeline. The world market for natural gas is characterized by rigid distribution methods and there is no short term flexibility of destination for the seller and almost no possibility for buyers to buy gas on a competitive market. LÄS MER

  5. 24. Prognostisering av räntabilitet på eget kapital - En jämförelsestudie av tre regressionsmodellers prognosförmåga applicerat på svenska data

    C-uppsats, Handelshögskolan i Stockholm/Institutionen för redovisning och finansiering

    Författare :Jasmina Fredelind; Cecilia Liu; [2015]
    Nyckelord :earnings forecast; cross-sectional earnings model; return on equity; Sweden;

    Sammanfattning : A multivariate cross-sectional model is used in this thesis to proxy for expected earnings and to estimate return on equity for 214 companies over the period 2009-2013, using Swedish data. The model, which has never been tested on Swedish data before, is first confirmed to function as a forecasting model for expected return. LÄS MER

  7. 25. Forecasting commodity futures using Principal Component Analysis and Copula

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Martin Jacobsson; [2015]
    Nyckelord :PCA; Copula; Mean-reversion; Momentum; Elliptical copulas; Maximum Likelihood; Cramer-von Mises; Sharpe Ratio.; Mathematics and Statistics;

    Sammanfattning : The ever ongoing battle to beat the market is in this thesis fought with the help of mathematics with a way to reduce the information to its core. It is called PCA, Principal Component Analysis. This is used to build a model of future commodity prices. LÄS MER