Sökning: "Return predictability"

Visar resultat 1 - 5 av 44 uppsatser innehållade orden Return predictability.

  1. 1. The Implied Volatility Skew of Single Stock Options and the Predictability of Jumps - Robustness Analysis

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

    Författare :Davide Brugola; [2019]
    Nyckelord :single stocks; options; implied volatility skew; jumps; earnings announcements;

    Sammanfattning : In this thesis, we try to understand whether the observed implied volatility skew of single stock options is significantly related to the probability of observing future return jumps in the underlying single stock. In particular, our main aim is to verify whether the skew-jump relationship persists during normal periods without any pre-scheduled information disclosure event or it is confined to earnings announcement periods. LÄS MER

  2. 2. Maximum Predictability Portfolio Optimization

    Master-uppsats, KTH/Matematik (Avd.)

    Författare :Nazim Huseynov; [2019]
    Nyckelord :Portfolio optimization; linear programming; multi-factor model; Portföljoptimering; linjär optimering; multifaktormodell;

    Sammanfattning : Harry Markowitz work in the 50’s spring-boarded modernportfolio theory. It gives investors quantitative tools to compose and assessasset portfolios in a systematic fashion. The main idea of the Mean-Varianceframework is that composing an optimal portfolio is equivalent to solving aquadratic optimization problem. LÄS MER

  3. 3. The predictive power of stock style: size, value-growth orientation and the shape of the future return distribution

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

    Författare :Eoin Gallagher; Dmitry Tanazhko; [2019]
    Nyckelord :Return predictability; Stock size; Stock valuation; Skewness; Morningstar;

    Sammanfattning : While there has been extensive research trying to explain the variability in the cross-section of expected stock returns, the predictability of other shape characteristics of the future return distribution is a less studied subject. This thesis investigates the relationship between the size and value-growth orientation of stocks (as measured according to Morningstar) and the shape parameters of their future returns. LÄS MER

  4. 4. Can IPO first day returns be predicted? A multiple linear regression analysis

    Kandidat-uppsats, KTH/Matematisk statistik; KTH/Matematisk statistik

    Författare :Amar Galijasevic; Josef Tegbaru; [2019]
    Nyckelord :Statistic; applied mathematics; financial mathematics; IPO; regression; Statistik; tillämpad matematik; finansiell matematik; IPO; börsintroduktion; regression;

    Sammanfattning : During the last three years the Swedish stock market has showed a strong upwards movement from the lows of 2016. At the same time the IPO activity has been large and a lot of the offerings have had a positive return during the first day of trading in the market. LÄS MER

  5. 5. Kraftpaket på väg - Incitament för kunder samt marknader för en framtida aggregator av V2G

    Master-uppsats, Lunds universitet/Institutionen för Energivetenskaper

    Författare :My Näslund; Mikael Bergmark; [2019]
    Nyckelord :Vehicle to Grid; V2G; Aggregator; Marknadsacceptans; Frekvensreglering; Incitament; Technology and Engineering;

    Sammanfattning : I ett framtida samhälle som inkluderar alltmer intermittent elproduktion och mindre svängmassa är det viktigt att hitta nya, snabba frekvensreglerande resurser för att bibehålla ett stabilt elsystem med säker energileverans. Ett exempel på en sådan resurs är batterier. LÄS MER