Sökning: "downside beta"

Hittade 5 uppsatser innehållade orden downside beta.

  1. 1. Downside risk: is downside risk being priced in the U.S. stock market?

    Kandidat-uppsats,

    Författare :Raouf Bahsoun; Arsalan Hakimi; [2020-07-06]
    Nyckelord :Excess kurtosis; skewness; Value-at-Risk; Expected shortfall; semi deviation; downside beta; Sortino ratio; Fama-French three-factor model; Fama French Five Factor model; Carhart four-factor model; q-four factor model; q-five factor model; asset pricing; U.S. stock market;

    Sammanfattning : This paper aims to add further research to the field of downside risk, and downside risk measures’ influence on the average returns in the U.S. stock market. LÄS MER

  3. 2. Beta Based Portfolio Construction: : Stock Selection Based on Upside- and Downside Market Risk

    Master-uppsats, Örebro universitet/Handelshögskolan vid Örebro Universitet

    Författare :Andreas Johansson; Robin Petersson; [2018]
    Nyckelord :;

    Sammanfattning : .... LÄS MER

  4. 3. The Inconvenient Truth of the Downside Beta

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Mikael Ahlstedt; Jonatan Stål; [2015-07-13]
    Nyckelord :;

    Sammanfattning : In this thesis, we perform a robustness test of the interesting ndings by in particular Artavanis (2013), but also Ang et al. (2006) and others, who nd evidence that a downside beta outperforms the CAPM beta in its ability to explain excess stock returns in a test developed by Fama and French (1992). LÄS MER

  5. 4. Mathematical modeling of insulin response in encapsulated islets of Langerhans

    Uppsats för yrkesexamina på avancerad nivå, Uppsala universitet/Institutionen för biologisk grundutbildning

    Författare :Mattias Lundén; [2014]
    Nyckelord :Encapsulation; glucose; insulin; secretion; islets; Type 1 diabetes mellitus;

    Sammanfattning : Transplantation of the islets of Langerhans is a promising technique for restoring the impairedinsulin production in brittle type 1 diabetics. The downside is that the patient will have to takeimmunosuppressant drugs in order to protect the islet cells from the immune system. LÄS MER

  7. 5. Downside Risk - En studie av riskkompensation på den svenska aktiemarknaden

    Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Björn Gustafsson; [2006]
    Nyckelord :risk; return; Risk Premium; downside beta; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

    Sammanfattning : This paper investigates the compensation for risk in the context of the Swedish stock market with a special focus on downside risk. Using daily market data collected from the A-list of the Stockholm Stock Exchange between the years 1983 and 2005 the purpose is to answer the question whether Swedish investors are compensated for holding stocks with high downside risk, measured as downside beta. LÄS MER