Sökning: "Return predictability"

Visar resultat 26 - 30 av 63 uppsatser innehållade orden Return predictability.

1. 26. Return Predictability: Can correlation effectively predict returns?

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

   Författare :Tor Fryer Petersson; Stina Karlsson; [2018]
   Nyckelord :CAPM; Average correlation; Risk-reward trade-off; Return predictability; Roll Critique;

   Sammanfattning : Previous research shows that index variance can be decomposed into average constituent correlation and average constituent variance. These studies hold that the average correlation captures features of the aggregate market risk and under a risk-reward relationship is a predictor of future excess returns. LÄS MER

3. 27. Forecasting High Yield Corporate Bond Industry Excess Return

   Master-uppsats, KTH/Matematisk statistik

   Författare :Carlos Junior Lopez Vydrin; [2018]
   Nyckelord :;

   Sammanfattning : In this thesis, we apply unsupervised and supervised statistical learning methods on the high-yield corporate bond market with the goal of predicting its future excess return. We analyse the excess return of industry based indices of high-yield corporate bonds belonging to the Chemical, Metals, Paper, Building Materials, Packaging, Telecom, and Electric Utility industry. LÄS MER

4. 28. EU-rättslig praxis i förändring: En kritisk granskning av påverkan av fri rörlighet för kapital på direkt beskattning på medlemsstatsnivå

   Kandidat-uppsats, Lunds universitet/Juridiska institutionen; Lunds universitet/Juridiska fakulteten

   Författare :Viktor Mårtensson; [2018]
   Nyckelord :EU-rätt; skatterätt; normkonflikt; EU-domstolen; Law and Political Science;

   Sammanfattning : The purpose of this essay is to critically review how decisions from the CJEU concerning the legal provisions regarding free movement of capital in article 63 of the TFEU has affected EU members states systems of direct taxation. Changes in relevant case law from the last 20 years is presented and the effects that these changes have had on the abilities of member states to shape direct taxation on a national level will be analysed. LÄS MER

5. 29. Empirical evidence of stock return predictability using macroeconomic variables

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

   Författare :Jonatan Gustafsson; Carl Ferm; [2018]
   Nyckelord :Granger Causality; Predictive Regressions; Trading Strategies; Macroeconomic Variables; Repo Rate;

   Sammanfattning : We investigate whether macroeconomic variables can predict returns of the OMXS30 index in the short run, and if an investor can generate abnormal profits from using the variables with significant predictive power. Granger causality tests, along with a predictive OLS regression framework show that the first difference of the repo rate and the log difference in exchange rates significantly Granger cause stock returns on the Swedish market. LÄS MER

7. 30. Financial integration and international asset pricing of Chinese stock markets

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

   Författare :Ho Wai NG; Weiwei Zhu; [2018]
   Nyckelord :Financial integration; International asset pricing; Emerging Market Finance;

   Sammanfattning : Our analysis draws several meaningful findings. First, we find that there is predictability of Chinese stock market return on latent variables which include common and local specific information. We also find that the conditional volatility and local price of risk are time varying for China. LÄS MER