Sökning: "benchmark risk"

Visar resultat 1 - 5 av 199 uppsatser innehållade orden benchmark risk.

1. 1. Combining Value Investing with Quality Investing: Empirical Evidence from the European and Nordic Stock Markets

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

   Författare :Oleksii Chepil; [2024]
   Nyckelord :value investing; quality investing;

   Sammanfattning : The aim of this thesis is to explore whether stock selection based on five value metrics and six quality metrics can generate superior returns compared to the overall market. The selected markets are the Nordic one (Nasdaq OMX Nordic 120 being the benchmark) and the European one (STOXX Europe 600 being the benchmark), while the selected time period is 2001-2023 for Europe and 2010-2023 for the Nordics. LÄS MER

3. 2. The value of a good deed; ESG-scores and returns in the Nordic stock markets

   Kandidat-uppsats,

   Författare :Axel Olausson; Axel Pettersson; [2023-11-07]
   Nyckelord :Stock returns; ESG; Risk-adjusted returns; Adjusted Sharpe ratio; unequal variance t-test; Nordic market;

   Sammanfattning : This paper seeks to answer which effect ESG-scores have on risk-adjusted returns for stocks listed on Nordic stock markets. To answer this, we create five null hypotheses and use unequal variance t-tests to determine if the hypotheses can be rejected. LÄS MER

4. 3. ESG and Fund Performance Comparing Funds with Different Strategic Benchmarks

   Kandidat-uppsats,

   Författare :Jesper Carlsson; Erik Olofsson; [2023-07-03]
   Nyckelord :ESG; Efficient Market Hypothesis; Risk-Adjusted Return; Strategic Benchmarks;

   Sammanfattning : This thesis aims to identify if there is a positive relationship between ESG and fund performance, and if this relationship is different depending on the strategic benchmark of the funds and how they differ between the given strategic benchmark. Four groups of funds connected to a specific strategic benchmark are divided based on their ESG score into a high ESG score group and low ESG score group. LÄS MER

5. 4. Deciphering Sector Performance in the Finnish Stock Market: A Study on Systematic Risk and Investment Strategies

   Master-uppsats, Göteborgs universitet/Graduate School

   Författare :Ville Viinikainen; [2023-07-03]
   Nyckelord :;

   Sammanfattning : This paper offers an empirical analysis of the Finnish stock market with a focus on sector behaviour, performance, and the effects of systematic risk and economic downturns on sector returns. Despite the fact that Finnish sector classifications were found to differ from the GICS classifications, this research emphasizes the significance of local context in investment decisions. LÄS MER

7. 5. Do you want to swap? A study of the liquidity risk in the SEK interest rate swap market

   Master-uppsats, Göteborgs universitet/Graduate School

   Författare :Viktor Edberg; Carl Hjelmqvist; [2023-06-29]
   Nyckelord :Bao; Pan; Wang indicator; Determinants; Dimensions of liquidity; Forward Rate Agreement; Fundamental Review of the Trading Book; Generalized least squares; Interest Rate Derivative; Interest Rate Swap; Liquidity horizon; Liquidity risk premium; Market liquidity; SVEN spread; Swap Spread; Swedish Government benchmark bond; Treasury-Eurodollar; Turnover ratio; Turnover-per-day; Volume-adjusted intraday volatility;

   Sammanfattning : Interest rate swaps are one of the world’s most essential interest rate derivatives. It is therefore important to understand the pricing of these agreements, and how the market is functioning. LÄS MER