Sökning: "ex-ante volatility"

Visar resultat 1 - 5 av 11 uppsatser innehållade orden ex-ante volatility.

  1. 1. CROSS-SECTIONAL AND TIME SERIES MOMENTUM RETURNS EVIDENCE FROM THE SWEDISH STOCK MARKET

    Kandidat-uppsats, KTH/Matematisk statistik

    Författare :Mahsa Badakhsh; [2023]
    Nyckelord :cross-sectional momentum; time-series momentum; market efficiency; random walk; ex-ante volatility; cross-sectional momentum; time-series momentum; marknadseffektivitet; random walk; ex-ante volatilitet;

    Sammanfattning : The study investigates the presence of the momentum effect in the Swedish stock market by utilizing both cross-sectional introduced by Jegadeesh and Titman (1993) and time-series momentum introduced by Moskowtozt et al. (2011). The period of analysis is between 1998 to 2022. LÄS MER

  3. 2. Global Supply Chain Optimisation by Using Sensing Solutions

    Master-uppsats, Lunds universitet/Produktionsekonomi

    Författare :Ahmad Belbisi; Amjad Belbisi; [2023]
    Nyckelord :Supply Chain Disruptions; Supply Chain Resilience; Supply Chain Visibility; Supply Chain Transparency; Real-Time Visibility; Internet of Things; Industry 4.0; Technology and Engineering;

    Sammanfattning : Problemformulering: Internationalisering, högre volatilitet på efterfrågan och snabbare försörjningskedjor är faktorer som gör den globala kedjan mer komplex. Därför strävar organisationer efter en bättre bild av deras försörjningskedja realtidsprestanda. LÄS MER

  4. 3. Volatility-managed portfolios in the international markets

    Master-uppsats, Stockholms universitet/Finansiering

    Författare :Soroush Hasanpour; Emil Adamsson; [2022]
    Nyckelord :Financial Markets; Asset-pricing; asset pricing; Equity; Equity Markets; Volatility; Volatility-management; international markets; Volatility pricing; Pricing anomalies;

    Sammanfattning : Volatility-managed portfolios offer mixed returns in an international setting based on ex-ante information. The results of this paper further strengthen the theory that the variability of excess returns from volatility-management are more dependent on underlying investor strategy rather than differences of global markets. LÄS MER

  5. 4. The Implied Volatility Skew of Single Stock Options and the Predictability of Jumps - Robustness Analysis

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

    Författare :Davide Brugola; [2019]
    Nyckelord :single stocks; options; implied volatility skew; jumps; earnings announcements;

    Sammanfattning : In this thesis, we try to understand whether the observed implied volatility skew of single stock options is significantly related to the probability of observing future return jumps in the underlying single stock. In particular, our main aim is to verify whether the skew-jump relationship persists during normal periods without any pre-scheduled information disclosure event or it is confined to earnings announcement periods. LÄS MER

  7. 5. A Study of Momentum Effects on the Swedish Stock Market using Time Series Regression

    Kandidat-uppsats, KTH/Matematisk statistik

    Författare :Carolina Ljung; Maria Svedberg; [2018]
    Nyckelord :momentum; time series regression; ex ante volatility; stationary process;

    Sammanfattning : This study investigates if momentum effects can be found on the Swedish stock market by testing a cross-sectional momentum strategy on historical data. To explain the results mathematically, a second approach, involving time series regression for predicting future returns is introduced and thereby extends the cross-sectional theory. LÄS MER