Sökning: "Premia"

Visar resultat 6 - 10 av 46 uppsatser innehållade ordet Premia.

1. 6. An Empirical Study of Autoencoder Asset Pricing Models and the Impact of Arbitrage Constraints

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

   Författare :Benjamin von Essen; Haohang Wu; [2021]
   Nyckelord :Empirical asset pricing; Conditional asset pricing model; Machine learning; Arbitrage; Multi-factor model;

   Sammanfattning : Following Gu et al. (2021), we implement a state-of-the-art machine learning asset pricing model, the conditional autoencoder, to capture the time-varying interactions between observable stock characteristics and factor loadings, while simultaneously extracting latent factors from stock returns. LÄS MER

3. 7. Sovereign Default, Risk-Averse Investors and the World Interest Rate

   D-uppsats, Handelshögskolan i Stockholm/Institutionen för nationalekonomi

   Författare :Martina Dosser; [2021]
   Nyckelord :Sovereign Default; International Lending; Government Bonds; International Contagion; Risk Premia;

   Sammanfattning : Empirical evidence suggests that global factors, such as the world interest rate and the degree of risk-aversion of international investors, are key drivers of sovereign spreads in emerging economies. Building on this evidence, this paper extends a model of strategic sovereign default to account for both a time-varying world interest rate and risk-averse international investors, in order to study the impact of these factors on sovereign debt prices and default incentives. LÄS MER

4. 8. Does Noise Trader Risk Repel Arbitrageurs? Evidence from Chinese A-H Share Premia

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

   Författare :Qing Zhu; Haihui Li; [2020]
   Nyckelord :noise trader risk; A-H premia; volatility; investor sentiment; limits to arbitrage;

   Sammanfattning : What causes the Chinese A-H share premia puzzle? A-shares enjoy a premium over corresponding H-shares on average by 125%, despite the same rights and dividends. The existing hypotheses such as differential risk, differential demand, liquidity, and asymmetric information cannot successfully account for the great magnitude of inflated A-share prices and are also inconsistent with our sample from 2014-2019. LÄS MER

5. 9. No Place like Home: Work from Home Ability and the Impact of the COVID-19 Pandemic on Asset Prices Across European Countries

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

   Författare :Valentin Brase; Niklas Hoborn; [2020]
   Nyckelord :Asset Pricing; Social Distancing; Work from Home; COVID-19; European Stock Markets;

   Sammanfattning : Social distancing during the COVID-19 pandemic has given rise to Work from Home (WfH). This paper explains why the WfH-ability of firms could entail a return differential between industries with high and low WfH-abilities (WfH-differential). LÄS MER

7. 10. Does mispricing explain returns following addition to the S&P 500?

   Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Giacomo Reghelin; James Alexander Nunn; [2020]
   Nyckelord :Index premium; S P 500; Mispricing; Market efficiency; Business and Economics;

   Sammanfattning : This study investigates the relationships between mispricing and returns following addition to the S&P 500. We find evidence that the index premium is demand-driven, resulting in mispricing that is subsequently exploited by rational investors. We find that index premia are temporary, undergoing a full reversal within 20 days. LÄS MER