Sökning: "downside-risk"

Visar resultat 1 - 5 av 31 uppsatser innehållade ordet downside-risk.

  1. 1. Rising Heat, Rising Risk: The Effect of Greenhouse Gas Emissions on Downside Tail Risk

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

    Författare :Moritz Neuber; Fabrice Van Lancker; [2023]
    Nyckelord :Climate Risk; Downside Risk; GHG Emissions; Tail Risk; Sustainable Finance;

    Sammanfattning : Regulatory and societal attention to environmental pollution is increasing, and greenhouse gas (GHG) emissions are becoming a potential risk factor for investors. This paper uses panel data from S\&P 500 firms between 2015 and 2022 to investigate the link between GHG emissions and downside tail risk. LÄS MER

  3. 2. Calculating Value-at-Risk under the G-Normal distribution. : Applied with Swedish data.

    Kandidat-uppsats, Uppsala universitet/Nationalekonomiska institutionen

    Författare :Daniel Renvall Moberg; [2023]
    Nyckelord :;

    Sammanfattning : Value–at–Risk (VaR) since its birth at JPMorgan in the 1990s, has become widely adopted by first and foremost the financial industry, but in later days regulatory authorities as a way of calculating downside risk. The subject in hand has led to numerous attempts by both the industry as well as scholars to find the perfect settings to calculate VaR. LÄS MER

  4. 3. The Impact of M&A Deals on Stock Performance : An empirical comparison between single and multiple acquirers on the Swedish market

    Magister-uppsats, Linnéuniversitetet/Institutionen för management (MAN)

    Författare :Emil Jönsson; Alfred Karlsson; [2023]
    Nyckelord :Mergers Acquisitons; M A; Value-at-Risk; VaR; Value-of-Return; VoR.;

    Sammanfattning : This study presents a rigorous exploration of the effects of single versus multiple M&A deals on the performance of acquiring firms. A pooled ordinary least squares (OLS) regression analysis was employed to examine our key performance indicators: Value at Risk (VaR), Value of Return (VoR), and Returns across year, month, and week time frames. LÄS MER

  5. 4. Does the bond market fully reflect the value of intangibles?

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för redovisning och finansiering

    Författare :Anton Alm; Filippa Stridh; [2022]
    Nyckelord :Event study; Bonds; Intangibles; Human capital; Employee satisfaction;

    Sammanfattning : This paper examines how the bond market reflects the value of an intangible, more specifically the value of employee satisfaction. Prior research has found support for a mispricing of information on employee satisfaction in the equity market. LÄS MER

  7. 5. Sustainable Investing: Effects on Portfolio Returns and Risk in a Nordic Setting

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

    Författare :Max Junestrand; Benjamin Wahlstedt; [2022]
    Nyckelord :ESG; Sustainable Finance; Corporate Social Responsibility; SRI; Sustainability Rating;

    Sammanfattning : ESG investing has gone from niche to mainstream, with the total AUM assigned to ESG-tilted portfolios growing by the day. The objective of this paper is to understand how the return and risk performance of Nordic mutual and exchange-traded funds differ based on sustainability ratings, as there is no consensus in the risk/reward payoff in ESG investing. LÄS MER