Avancerad sökning

Hittade 2 uppsatser som matchar ovanstående sökkriterier.

1. 1. 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. 2. Should you put some of your eggs in the peer-to-peer lending basket?

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

   Författare :Joar Ölund; Triin Öun; [2018]
   Nyckelord :Peer-to-Peer P2P lending; Modern Portfolio Theory; Treynor-Black model;

   Sammanfattning : This thesis examines whether an Estonian peer-to-peer loan portfolio can be an attractive diversification opportunity for retail investors. The posed research question is answered using the data from the Estonian P2P lending platform Bondora from 1 January 2013 to 31 December 2017 and using two different approaches: The Modern Portfolio Theory and the Treynor-Black Model. LÄS MER