Sökning: "conditional asset-pricing models"

Visar resultat 1 - 5 av 12 uppsatser innehållade orden conditional asset-pricing models.

1. 1. Stock Market Volatility in the Context of Covid-19

   Magister-uppsats, Jönköping University/IHH, Företagsekonomi

   Författare :Liu Kunyu; [2022]
   Nyckelord :The U.S. stock market; COVID-19; volatility clustering; GARCH models; leverage effect;

   Sammanfattning : The global economy has been severely impacted during the Covid-19 period. The U.S. stock market has also experienced greater volatility. LÄS MER

3. 2. An Empirical Study of Autoencoder Asset Pricing Models and the Impact of Arbitrage Constraints

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

   Författare :Benjamin von Essen; Haohang Wu; [2021]
   Nyckelord :Empirical asset pricing; Conditional asset pricing model; Machine learning; Arbitrage; Multi-factor model;

   Sammanfattning : Following Gu et al. (2021), we implement a state-of-the-art machine learning asset pricing model, the conditional autoencoder, to capture the time-varying interactions between observable stock characteristics and factor loadings, while simultaneously extracting latent factors from stock returns. LÄS MER

4. 3. Nonparametric Asset Pricing with Conditioning Information

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

   Författare :Christoffer Sjöström; Dominik Schmitz; [2018]
   Nyckelord :Conditional Asset Pricing; Nonparametric SDF; Nonlinear Pricing Kernel; Stochastic Discount Factor; Time-varying Betas;

   Sammanfattning : This study sets out to be the very first in introducing the notion of a nonlinear pricing kernel in conditional asset pricing for the Swedish equity market. By implementing a flexible nonparametric methodology, we are able to conduct tests that are completely free from functional form specifications of time-varying betas, risk premia and the stochastic discount factor. LÄS MER

5. 4. Investigating New Multifactor Models with a Conditional Dual-Beta : Can a Conditional Dual-Beta in the Market Factor add Explanatory Value in New Multifactor Models? A study of the Swedish Stock Market between 2003 and 2015

   Magister-uppsats, Linköpings universitet/Företagsekonomi; Linköpings universitet/Filosofiska fakulteten

   Författare :Joakim Lind; Lars Sparre; [2016]
   Nyckelord :Asset-pricing model; Multifactor model; Conditional beta; Dual-Beta; Five-Factor Model; Q-Factor Model; Beta-sorted Portfolios; Swedish Stock Market;

   Sammanfattning : This thesis investigates pricing-performance of two recently developed multifactor asset-pricing models with the implementation of dual-betas dependent upon prevailing market-conditions. The models included in the study are the Fama and French five-factor model and the Q-factor model by Hou, Xue and Zhang. LÄS MER

7. 5. Pricing Portfolios Constructed on Cyclicality Considerations Using Non-Domestic Regional Factors: Evidence from Eurozone Region

   Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Alexandros Spanoudis; Shant Sanossian; [2015]
   Nyckelord :Capital Asset Pricing Model; Fama French Three Factor Models; Conditional Capital Asset Pricing Model; Conditional Fama French Three Factor Models; Cyclical Portfolios pricing; Defensive portfolios pricing; Eurozone; STOXX 600 Europe; Business and Economics;

   Sammanfattning : This research paper tests the traditional market based pricing models and their ability to explain the return on portfolios constructed on cyclicality basis in the Eurozone region. The paper goes beyond the domestic market portfolios (indices) regularly used for asset pricing to the more regional or international approach of asset pricing through using regional market portfolios as a predictor factor as a potential indicator of the Eurozone economic integration level. LÄS MER