Sökning: "Philip Hamnå"

Hittade 2 uppsatser innehållade orden Philip Hamnå.

1. 1. Good and Bad Macroeconomic Uncertainty: Implications for Bond Risk Premia

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

   Författare :Philip Hamnå; Federico Valenza; [2017]
   Nyckelord :Macroeconomic uncertainty; Bond risk premia; Countercyclical; Semi-variance;

   Sammanfattning : This paper explores the predictive power of macroeconomic uncertainty on bond risk premia. We decompose quarterly survey data into good and bad uncertainty components by estimating positive and negative semi-variances. Building on theoretical evidence, these uncertainties are assumed to feed into future positive and negative shocks to consumption. LÄS MER

3. 2. The Cross-Section of Stocks and Options - Informed Trading & Volatility Mispricing

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

   Författare :Philip Hamnå; Caroline Holtsjö; [2015]
   Nyckelord :Informed trading; Implied volatility; Realized volatility; Abnormal return; Cross-section;

   Sammanfattning : We examine the cross-section of stocks and options to confirm recent findings that past abnormal stock return predicts an increase in implied volatility and a decrease in realized volatility. In our extended empirical analysis we present new evidence indicating that future implied volatility is positively related to decreases in stock trading activity and negatively related to stock illiquidity. LÄS MER