Sökning: "benchmark indices"

Visar resultat 1 - 5 av 35 uppsatser innehållade orden benchmark indices.

  1. 1. The Effects of Macroeconomic Factors on the Shares of Automotive Manufacturers in the USA, Asia, and Europe in the Short and Long Run

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Filip Dyankov; [2022]
    Nyckelord :macroeconomic factors; stock returns; VAR; ARDL; Business and Economics;

    Sammanfattning : This study aims to broaden the remits of the relatively scant hitherto literature focused on the impact of the changes in macroeconomic indicators on automotive stock returns. Since a considerable fraction of previous empirical research covered multiple industries, historical results may not be directly transferable for the purposes of the analysis of the automotive industry. LÄS MER

  3. 2. ETF Cost Obfuscation

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

    Författare :Ole Holte; Hans-Kristian Leite; [2022]
    Nyckelord :Exchange Traded Funds; Expense Ratios; Tracking Errors; Index Investing; Asset Management;

    Sammanfattning : Index-tracking ETFs have gained popularity by both retail and institutional investors over the past years while costs in the form of fees have declined due to competitive pressures. Index-tracking funds are relatively homogenous products with only the goal of replicating an index as close as possible. LÄS MER

  4. 3. Decomposition of ETFs: Building a synthetic portfolio of ETFs major positions

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Donatas Gadlijauskas; Evelina Sarul; [2022]
    Nyckelord :ETF; Portfolio optimization; Sharpe ratio; VaR; GARCH; Business and Economics;

    Sammanfattning : This paper investigates the performance of benchmark indices and according ETFs against the synthetic portfolios that were built using the five major holdings of the selected benchmark index and its ETF. Not only do we test the synthetic portfolios, but from them, we make optimal (re-balanced) portfolios using mean-variance optimization (with short-selling constraints). LÄS MER

  5. 4. How do ESG assets relate to the financial market? : A Diebold-Yilmaz spillover approach to sustainable finance

    Master-uppsats, Linköpings universitet/Nationalekonomi; Linköpings universitet/Filosofiska fakulteten

    Författare :Shobair Moosawi; Ludvig Segerhammar; [2022]
    Nyckelord :AR 1 -GARCH p; q ; Commodity; ESG; Equity; Return; Spillover; Sustainability; Sustainable finance; Volatility;

    Sammanfattning : The purpose of this master’s thesis is to investigate to what extent ESG assets and traditional benchmarks affect one another. Since sustainable investment is a growing segment of the financial market, investors need to be informed about how it may affect their portfolios, and by extension if it can be used for portfolio diversification. LÄS MER

  7. 5. Värde- eller tillväxtsäsong? : En kvantitativ undersökning av kalenderanomalier på de nordiska aktiemarknaderna.

    Magister-uppsats, Linköpings universitet/Institutionen för ekonomisk och industriell utveckling; Linköpings universitet/Filosofiska fakulteten

    Författare :Fredrik Svensson; Jacob Sandlund; [2021]
    Nyckelord :Calendar anomalies; Nordic countries; Value stocks; Growth stocks; Efficient market hypothesis; P BV; Kalenderanomalier; Norden; Värdeaktier; Tillväxtaktier; Effektiva marknadshypotesen; P BV; Beteendeekonomi;

    Sammanfattning : Bakgrund: Sedan finanskrisen 2008 har den globala ekonomin präglats av sjunkande räntor och stigande börser. Detta har lett till att intresset för den nordiska aktiemarknaden har nått rekordhöga nivåer. LÄS MER