Sökning: "excess returns"

Visar resultat 11 - 15 av 316 uppsatser innehållade orden excess returns.

1. 11. Does the Level of Swedish Economic Policy Uncertainty Help Forecast Excess Returns on the Swedish Stock Market?

   Master-uppsats, Uppsala universitet/Företagsekonomiska institutionen

   Författare :Gustav Jacobsson; Oscar Klersell; [2023]
   Nyckelord :Economic Policy Uncertainty EPU ; Excess stock returns; Out-of-sample forecasting; Random walk; Sweden;

   Sammanfattning : This thesis examines whether the level of Swedish economic policy uncertainty (EPU) can predict excess returns on the Swedish stock market. We run out-of-sample forecasting using an EPU-based predictive model constructed with the official Swedish EPU index developed by Armelius et al. (2017). LÄS MER

3. 12. Socially Responsible and Financially Rewarding: The Relationship Between ESG and Stock Market Returns

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

   Författare :Kristian Eklund; Felix Freiherr von Uslar-Gleichen; [2023]
   Nyckelord :ESG Performance; ESG Index; Index Returns; Sustainable Finance; Systematic Risk;

   Sammanfattning : We study the link between the ESG-performance of 20 OECD countries and the excess returns of their major stock indices between 2005 and 2015. Our research shows a significant positive relationship between the two metrics. LÄS MER

4. 13. The granddaddy of underreaction events: Post-earnings announcement drift and information noisiness on the Swedish market

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

   Författare :Sofia Berlin; Gustav Sandelin; [2023]
   Nyckelord :Post-earnings announcement drift; market efficiency; earnings surprises; information noisiness; stock price synchronicity;

   Sammanfattning : This paper aims to answer the question of whether there is an existence of post-earnings announcement drift on the Swedish stock market and to what extent it can be explained by information noisiness. A sample of publicly listed firms on the Swedish stock market from 2002 to 2019 is used and the research design includes four different approaches to estimating earnings surprises which is a crucial step in investigating PEAD. LÄS MER

5. 14. Evaluating the Effect of Meta-Labeling on Equity Market Neutral Strategy

   Kandidat-uppsats, Lunds universitet/Statistiska institutionen

   Författare :Niclas Wölner-Hanssen; [2023]
   Nyckelord :Meta-Labeling; Probabilistic Sharpe Ratio; Equity Market Neutral; Mathematics and Statistics;

   Sammanfattning : This thesis aims to construct an Equity Market Neutral (EMN) strategy framework to predict intraday excess returns of stocks within the S&P 500 index by utilizing machine learning techniques proposed by (López de Prado, 2018). The constructed EMN strategies within the framework utilizes techniques such as Stacked Single Feature Importance (SSFI), sample weighting, Probabilistic Sharpe Ratio (PSR), and meta-labeling. LÄS MER

7. 15. A Causal Analysis of Cat Bond Markets

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

   Författare :Tim Matheis; [2023]
   Nyckelord :Cat bonds; Insurance-linked securities; Causal machine learning; Random forests;

   Sammanfattning : This work is a contribution to the causal analysis of the catastrophe bond market, which has generated high excess returns over the last two decades. Since these excess returns remain partially unexplainable and the interest in catastrophe bonds is increasing, the causal study of the factors affecting their premiums is of high relevance. LÄS MER