Sökning: "Single-and Multi- Factor models"
Hittade 4 uppsatser innehållade orden Single-and Multi- Factor models.
1. Performance of Small- and Large-cap stock portfolios- The importance of market anomalies across business cycles
Master-uppsats, Göteborgs universitet/Graduate SchoolSammanfattning : This Master´s thesis investigated the importance of the market anomalies size (market capitalization), value (Book-to-Market ratio) and momentum (lagged short-term momentum) for equity returns of small- and large-cap composite stock portfolios. The study focused on two contrasting stock markets (NASDAQ OMX and NYSE) across domestic business cycles over the time-period 2006 to 2021. LÄS MER
2. Performance Evaluation of Small- and Large-cap stocks - The importance of size effects on the Swedish equity market
Kandidat-uppsats, Göteborgs universitet/Institutionen för nationalekonomi med statistikSammanfattning : This Bachelor´s thesis investigated the performance of small-cap stocks and large-cap stocks on the Swedish equity market (NASDAQ OMX) over the years 2011 to 2016. A number of studies focused on asset pricing have during the last decades indicated that the original Capital Asset Pricing Model (CAPM) is misspecified and has limited power to explain cross-sectional and temporal variations in expected equity returns. LÄS MER
3. On the risk relation between Economic Value of Equity and Net Interest Income
Master-uppsats, KTH/Matematisk statistikSammanfattning : The Basel Committee has proposed a new Pillar 2 regulatory framework for evaluating the interest rate risk of a bank's banking book appropriately called Interest Rate Risk in the Banking Book. The framework requires a bank to use and report two different interest rate risk measures: Economic Value of Equity (EVE) risk and Net Interest Income (NII) risk. LÄS MER
4. Do the Nice Guys Go Home Empty Handed?
Magister-uppsats, Lunds universitet/Nationalekonomiska institutionenSammanfattning : The aim of this study is twofold. First, the performance of sin stocks in the United States is analyzed. As performance measure I use Jensen’s alpha in a single- and multifactor framework. LÄS MER