Sökning: "cross-sectional variation of returns"

Visar resultat 1 - 5 av 24 uppsatser innehållade orden cross-sectional variation of returns.

1. 1. Q-factor Investment Approach: Evidence from the Swedish Equity Market

   Master-uppsats, Göteborgs universitet/Graduate School

   Författare :Jesper Lundgren; Robin Olin; [2021-06-30]
   Nyckelord :Asset pricing; q-factor model; Swedish equity market;

   Sammanfattning : Four easily measured factors: market, size, investment, and pro tability together con- stitute the empirical q-factor model. The combination of factors have previously shown to largely capture the cross-sectional variation in average stock returns. LÄS MER

3. 2. Principal Component Analysis and the Cross-Sectional Variation of Returns

   Kandidat-uppsats,

   Författare :Armin Ramovic; Mikael Åkerman; [2021-06-23]
   Nyckelord :Principal Component Analysis; PCA; principal components; cross-sectional variation of returns; risk premia; asset pricing; demensionality reduction; risk factors; machine learning;

   Sammanfattning : We utilize Principal Component Analysis (PCA), a dimensionality reduction technique, on a set of 142 risk factors, including macroeconomic factors, proposed in financial literature to construct factor models with high explanatory powers when analysing the cross-sectional variation of portfolio returns. We apply a Fama and Macbeth (1973) two-pass regression to estimate risk premia commanded by our principal components. LÄS MER

4. 3. The Corona Crisis as Ultimate Stress Test- Market Reaction to EBA´s 2020 Stress Test Postponement

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

   Författare :Mishale Zahn; [2021]
   Nyckelord :EBA Stress Test; Financial Stability; Resilience; Bank Regulation; COVID-19;

   Sammanfattning : In response to the COVID-19 outbreak, the European Banking Authority (EBA) decided to postpone its biennial 2020 stress test to 2021. The supervisory exercise was supposed to answer whether banks have sufficient capital to withstand the impact of a global economic recession. LÄS MER

5. 4. Spaculative Sentiment - An Analysis of the Impact of Investor Sentiment on SPAC Activity and Performance

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

   Författare :Hannes Weidemann; Eid Jazairi; [2021]
   Nyckelord :Special purpose acquisition company; Investor sentiment; Speculative; Cross-sectional variation;

   Sammanfattning : SPACs have experienced a puzzling surge in popularity despite academics documenting their severe historic underperformance. This paper adds a new layer to previous research by investigating whether market sentiment can explain SPAC activity and performance. We find that SPAC activity rises when investor sentiment falls. LÄS MER

7. 5. Modeling the evolution of market uncertainty- Hedge Fund returns and Volatility of Aggregate Volatility within a dynamic perspective

   Master-uppsats, Göteborgs universitet/Graduate School

   Författare :Annalisa Caros; [2019-07-02]
   Nyckelord :;

   Sammanfattning : This paper investigates, in a dynamic perspective, whether uncertainty about equity market returns can have implications on hedge fund portfolio decisions over time. Therefore, the thesis wants to ascertain if the risk originated by that uncertainty is an explanatory factor for cross-sectional differences in returns over time. LÄS MER