Sökning: "Stochastic Discount Factor"
Hittade 4 uppsatser innehållade orden Stochastic Discount Factor.
1. Preparing for a pandemic - a theoretical perspective on the trade-offs of unconventional monetary policy
Magister-uppsats, Lunds universitet/Nationalekonomiska institutionenSammanfattning : As the COVID-19 pandemic spread across the globe, unprecedented policy measures were implemented by central banks and governments to dampen the effect on the real economy. Alongside the spread of the pandemic, research regarding how to simulate similar effects of the virus on the real economy and how to formulate optimal policy began spreading at an equal pace. LÄS MER
2. Pricing power and time-variation of global factor proxies
Magister-uppsats, Lunds universitet/Nationalekonomiska institutionenSammanfattning : The marginal pricing power and individual impact of proxies used in international asset pricing and financial integration studies is not well researched. In this study I look at the most widely used proxies; i.e. World Index Return, change in Eurodollar rate, change in spread between 10-year U. LÄS MER
3. Nonparametric Asset Pricing with Conditioning Information
D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiSammanfattning : This study sets out to be the very first in introducing the notion of a nonlinear pricing kernel in conditional asset pricing for the Swedish equity market. By implementing a flexible nonparametric methodology, we are able to conduct tests that are completely free from functional form specifications of time-varying betas, risk premia and the stochastic discount factor. LÄS MER
4. Winning with IVOL
D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiSammanfattning : Idiosyncratic volatility has an increasing effect on returns. This increasing effect is strongest for small stocks, which can be explained by investors' underdiversification. Previous studies that found a decreasing effect did not control for the low-beta anomaly. LÄS MER