Sökning: "Multifactor Investing"

Hittade 4 uppsatser innehållade orden Multifactor Investing.

  1. 1. Stockholm Stock Exchange and Environmental Rating – A Multifactor Analysis

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Carl Helldén; Julia Lamers; [2022-06-29]
    Nyckelord :ESG; Environmental; asset pricing models; screening strategies;

    Sammanfattning : The thesis investigates if investors can generate positive abnormal performance by investing in Environmental high-rated stocks on the Stockholm stock exchange based on three screening strategies; positive, negative and best-in-class for value-weighted, long-only and long-short portfolios. The sample is between 2010-2020, using CAPM, Fama-French three factor model and Carhart four factor model. LÄS MER

  3. 2. Analysing multifactor investing & artificial neural network for modern stock market prediction

    Magister-uppsats, Högskolan i Jönköping/IHH, Företagsekonomi

    Författare :Samuel Roy; Jakob Jönsson; [2019]
    Nyckelord :Multifactor Investing; Stock Market Prediction; Artificial Neural Network; Regression Analysis;

    Sammanfattning : In this research we investigate the relationship between multifactor investing and Artificial Neural Network (ANN) and contribute to modern stock market prediction. We present the components for multifactor investing i.e. value, quality, size, low volatility & momentum as well as a methodology for ANN which provides the theory for the results. LÄS MER

  4. 3. Price is What You Pay, Value is What You Get - Dissecting the Quality Anomaly in US Equity Returns

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Filip Düsing; Erik Ivarsson; [2017]
    Nyckelord :Factor Investing; Quality Factor; Quality Screen; Cross Sectional Regression; Conditional Beta Analysis; Selection Bias; Business and Economics;

    Sammanfattning : The purpose of the thesis relates to the Quality anomaly observed in the US equity market, where stocks with Quality characteristics tend to outperform and have higher risk adjusted returns. By dissecting the Quality anomaly, the thesis aims to analyze the drivers of the over performance of Quality and investigate the presence of a systematic Quality premium. LÄS MER

  5. 4. A Study of the Excess Comovement on the Swedish Stock Market 1985-2003

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Taina Brännström; [2005]
    Nyckelord :Excess comovement; financial contagion; portfolio theory; correlation; diversification.; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

    Sammanfattning : This paper is focused on two phenomenons that is called excess comovement and financial contagion. The excess comovement is defined as the comovement, or correlation, between normally uncorrelated assets, that can not be explained by economic fundamentals and financial contagion is the occurrence of excess comovement. LÄS MER