Sökning: "asset pricing modeling"
Visar resultat 1 - 5 av 9 uppsatser innehållade orden asset pricing modeling.
1. Forecasting Stock Prices Using an Auto Regressive Exogenous model
Kandidat-uppsats, KTH/Skolan för teknikvetenskap (SCI)Sammanfattning : This project aimed to evaluate the effectiveness of the Auto Regressive Exogenous(ARX) model in forecasting stock prices and contribute to research on statisticalmodels in predicting stock prices. An ARX model is a type of linear regression modelused in time series analysis to forecast future values based on past values and externalinput signals. LÄS MER
2. Modellering av diskonteringsränta avseende skogliga investeringar med CAPM och APT
Kandidat-uppsats, Linnéuniversitetet/Institutionen för skog och träteknik (SOT)Sammanfattning : Med hjälp av årlig prisstatistik avseende försäljningar av skogsfastigheter (1995-2020) bedömer studien skogliga investeringars marknadsrisk samt estimerar dess diskonteringsränta. Analysen sker inom de teoretiska ramverken Capital Asset Pricing Theory (CAPM) samt Arbitrage Pricing Theory (APT). LÄS MER
3. Predicting Asset Prices with Machine Learning
Kandidat-uppsats,Sammanfattning : This study examines whether machine learning techniques such as neural networks contain predictability when modeling asset prices and if they can improve on asset pricing prediction compared to traditional OLS-regressions. This is analyzed through measuring and comparing the out-of-sample R2 to find each models’ predictive power. LÄS MER
4. MODELING CAPITAL ASSET RETURNS ON THE SWEDISH STOCK MARKET - An evaluation of Fama French’s Five Factor Model against its predecessors
Kandidat-uppsats, Lunds universitet/Statistiska institutionenSammanfattning : This thesis compared the explanatory rate of three asset pricing models related to excess returns on the Swedish stock market. A more granular evaluation of each model’s factors was also conducted. A random sample of 90 companies was drawn from the Stockholm Stock Exchange (N = 371) using a Blomberg terminal. LÄS MER
5. Identifying asset pricing bubbles: Testing for explosive behavior in the NASDAQ and STOXX 600 Europe Technology indices
Magister-uppsats, Lunds universitet/Nationalekonomiska institutionenSammanfattning : A forward recursive estimation method is used to examine stock market data on unit root against explosive behavior as an indication of financial exuberance. Through specific dividend-stock pricing modeling, the recursive implementation of a right-tailed ADF test allows for directly testing the price index series on explosive behavior and its corresponding dividend series on non-explosive behavior. LÄS MER