Sökning: "Multifactor models"

Visar resultat 6 - 10 av 14 uppsatser innehållade orden Multifactor models.

  1. 6. 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

  3. 7. Factors Affecting Risk-Adjusted Stock Market Returns in Emerging Markets: A Pre- and Post-Crisis Comparison

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Javier Castro; Patrick Whittall; [2017]
    Nyckelord :Emerging markets; Stocks; Multifactor models; Risk-adjusted returns; Business and Economics;

    Sammanfattning : Emerging markets have shown higher average returns alongside higher volatility. This has attracted investors around the globe who see these markets as a precious alternative to developed ones, as has become clear in the aftermath of the financial crisis. LÄS MER

  4. 8. Investigating New Multifactor Models with a Conditional Dual-Beta : Can a Conditional Dual-Beta in the Market Factor add Explanatory Value in New Multifactor Models? A study of the Swedish Stock Market between 2003 and 2015

    Magister-uppsats, Linköpings universitet/Företagsekonomi; Linköpings universitet/Filosofiska fakulteten

    Författare :Joakim Lind; Lars Sparre; [2016]
    Nyckelord :Asset-pricing model; Multifactor model; Conditional beta; Dual-Beta; Five-Factor Model; Q-Factor Model; Beta-sorted Portfolios; Swedish Stock Market;

    Sammanfattning : This thesis investigates pricing-performance of two recently developed multifactor asset-pricing models with the implementation of dual-betas dependent upon prevailing market-conditions. The models included in the study are the Fama and French five-factor model and the Q-factor model by Hou, Xue and Zhang. LÄS MER

  5. 9. Multifactor Affine Term Structure with Macroeconomic Factors

    Master-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Kaixin Xiangyu; Hao Wang; [2016]
    Nyckelord :Affine Term Structure; Bond Yields; Term Structure Models; Macroeconomics; Business and Economics;

    Sammanfattning : We present a multifactor model of the affine term structure of interest rates with dynamics of macroeconomic factors following the diffusion process in the Vasicek model. Using observable series, we investigate the goodness of fit of the model and the impact of the variables on bond yields. LÄS MER

  7. 10. The Exposure of the Nordic Banking Sector against Global Macroeconomic Factors - A Time Series Study on Probability of Default

    Master-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Aleksandra Sarmes; Johan Lundström; [2016]
    Nyckelord :Probability of default; z-score models; banking sector; Nordics; global factors; macroeconomy; Business and Economics;

    Sammanfattning : Business cycles and changes in macroeconomic variables can have a huge influence on the profitability and credit exposure of an individual bank. Consequently, they affect the risk profile of a given bank. LÄS MER