Sökning: "Underlying stocks"

Visar resultat 1 - 5 av 64 uppsatser innehållade orden Underlying stocks.

1. 1. Natteffekten på Stockholmsbörsen : En studie om kvartalsrapportens inverkan på nattavkastning

   Kandidat-uppsats, Uppsala universitet/Företagsekonomiska institutionen

   Författare :Erik Aste; Sebastian Rosander; [2023]
   Nyckelord :Anomali; kvartalsrapport; avkastning; natteffekt; stockholmsbörsen; nattavkastning;

   Sammanfattning : Recent research has highlighted the puzzling phenomenon of overnight stock returns vastly outperforming day returns. The anomaly has been fairly well documented but the underlying factors are still debated. LÄS MER

3. 2. Can a modern value definition save a struggling investment strategy? A study on the performance of the F-Score when adjusting book-to-market equity for intangibles

   C-uppsats, Handelshögskolan i Stockholm/Institutionen för redovisning och finansiering

   Författare :Hampus Johnson; Max Rembe; [2023]
   Nyckelord :Value investing; Piotroski s F-score; Intangible assets; Book-to-market equity;

   Sammanfattning : Studies have found that the immediate expensing of intangible investments has understated the book-to-market metric, which has caused a substantial misclassification of value and glamor stocks in the new economy. This has coincided with a deteriorating performance of Piotroski's F-score, which aims to identify winning stocks among the value group by considering financial signals relevant to these stocks. LÄS MER

4. 3. Option Expiration Day Impact on Underlying Stock Return- A Study on the Swedish Option Market

   Kandidat-uppsats, Lunds universitet/Företagsekonomiska institutionen

   Författare :Alisa Penkina; Alan Karaduman Sorsenger; Sirwan Kakai; [2023]
   Nyckelord :Option Market; Open Interest; Stock Return; Delta Hedging; Option Expiration Day; Business and Economics;

   Sammanfattning : Research questions: Is there significant change in the stock return on option expiration dates in the underlying stock? Does the net open interest have an effect on the return of the underlying stock on option expiration day? Purpose: The purpose of the bachelor's thesis is to study whether there is a significant difference in the stock returns on option expiration dates in relation to the net open interest of the underlying stocks within the OMXS30 index. Methodology: A quantitative study using a deductive approach to statistically describe the relationship between the daily stock return with open interest and traded volume. LÄS MER

5. 4. Investigating the Performance of Random Forest Classification for Stock Trading

   Kandidat-uppsats, KTH/Skolan för teknikvetenskap (SCI)

   Författare :Oscar Nordfjell; Gustav Ring; [2023]
   Nyckelord :Random Forest; Random Forest Classification; Stock Trading; Trading Strategy;

   Sammanfattning : We show that with the implementation presented in this paper, the Random Forest Classification model was able to predict whether or not a stock was going to increase in value during the coming day with an accuracy higher than 50\% for all stocks included in this study. Furthermore, we show that the active trading strategy presented in this paper generated higher returns and higher risk-adjusted returns than the passive investment in the stocks underlying the strategy. LÄS MER

7. 5. Does the bond market fully reflect the value of intangibles?

   D-uppsats, Handelshögskolan i Stockholm/Institutionen för redovisning och finansiering

   Författare :Anton Alm; Filippa Stridh; [2022]
   Nyckelord :Event study; Bonds; Intangibles; Human capital; Employee satisfaction;

   Sammanfattning : This paper examines how the bond market reflects the value of an intangible, more specifically the value of employee satisfaction. Prior research has found support for a mispricing of information on employee satisfaction in the equity market. LÄS MER