Sökning: "asset pricing"

Visar resultat 21 - 25 av 415 uppsatser innehållade orden asset pricing.

1. 21. Sustainable investing in the Nordics : A comparative analysis of ESG portfolios

   Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Företagsekonomi

   Författare :Linus Gustavsson; Marcus Andersson; [2023]
   Nyckelord :ESG rating; ESG investing; Factor investing; Nordic ESG financial performance; sustainable finance;

   Sammanfattning : Sustainability has become a pressing global issue due to environmental and social challenges caused by human activity which has led to a rise in sustainable investing, including ESG investing. Research on financial performance and sustainable investing have not only showed mixed results, but they are also generally conducted in greater markets such as the US, Europe, and Asia-pacific markets. LÄS MER

3. 22. Economic Policy Uncertainty and Stock Market Performance: The Role of CSR

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

   Författare :Albin Hammarberg; Victor Möller; [2023]
   Nyckelord :Economic Policy Uncertainty; Corporate Social Responsibility; Capital Asset Pricing Model; Fama French Three Factor Model; Stock Market Returns;

   Sammanfattning : This research study aims to examine the association between economic policy uncertainty (EPU) and stock market performance, and to investigate whether corporate social responsibility (CSR) has an impact on this relationship. The dataset used in this study comprises firms listed on the S&P 500 index from 2013 to 2022 and is applied on two models, the Capital Asset Pricing Model and Fama French Three Factor Model. LÄS MER

4. 23. Statistical Modelling of Price Difference Durations Between Limit Order Books: Applications in Smart Order Routing

   Master-uppsats, KTH/Matematisk statistik

   Författare :Hannes Backe; David Rydberg; [2023]
   Nyckelord :Smart Order Routing; Market Microstructure; Statistical Modelling; Survival Analysis; Kaplan-Meier; Cox Proportional Hazards; Random Survival Forest; Smart Order Routing; Marknadsmikrostruktur; Statistisk Modellering; Överlevnadsanalys; Kaplan-Meier; Cox Proportional Hazards; Random Survival Forest;

   Sammanfattning : The modern electronic financial market is composed of a large amount of actors. With the surge in algorithmic trading some of these actors collectively behave in increasingly complex ways. Historically, academic research related to financial markets has been focused on areas such as asset pricing, portfolio management and financial econometrics. LÄS MER

5. 24. Equity Greenium in the Nordic Markets

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

   Författare :Hui Li; Yanxu Chen; [2023]
   Nyckelord :Sustainable investing; ESG; Climate change; Equity premium;

   Sammanfattning : This study investigates the performance of green and brown stocks in the Nordic market, examining whether high realised returns correspond to high expected returns. Using a brown-minus-green portfolio from Nordic stock data, the findings reveal that brown stocks outperformed green stocks during the sample period from 2012 to 2022, with a cumulative return difference of 18. LÄS MER

7. 25. Pricing and Hedging American-Style Options withDeep Learning: Algorithmic implementation

   Master-uppsats, Uppsala universitet/Analys och partiella differentialekvationer

   Författare :Mohammed Moniruzzaman Khan; [2023]
   Nyckelord :;

   Sammanfattning : This thesis aims at evaluating and implementing Longstaff & Schwarz approach for approximating the value of American options. American options are generally hard to value, exercised at any time up to its expiration and moreover, there is no closed- form solution for an American option’s price. LÄS MER