Sökning: "excess volatility"
Visar resultat 1 - 5 av 32 uppsatser innehållade orden excess volatility.
- Kandidat-uppsats, KTH/Fastigheter och byggande; KTH/Fastigheter och byggande
Sammanfattning : This paper evaluates the ability of single and multi-ratio investment strategies, such as P/E, P/B, Magic Formula and Piotroski F-score, to generate excess returns and positive alpha values on the Stockholm Stock Market. Performances of the strategies tested are compared to the Stockholm Stock Market as a whole, also known as the index “OMXSPI”. LÄS MER
- Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen
Sammanfattning : This paper investigates the relationship between financial performance and sustainable performance. More specifically, it investigates whether sustainable firms outperform less sustainable firms. The sustainable performance is based on companies received ESG score. LÄS MER
- Master-uppsats, KTH/Matematisk statistik
Sammanfattning : In this thesis, we apply unsupervised and supervised statistical learning methods on the high-yield corporate bond market with the goal of predicting its future excess return. We analyse the excess return of industry based indices of high-yield corporate bonds belonging to the Chemical, Metals, Paper, Building Materials, Packaging, Telecom, and Electric Utility industry. LÄS MER
- Kandidat-uppsats, Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO); Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO)
Sammanfattning : This paper examines how the level and volatility of interest rates affect the stock return of banks using a GARCH-M model. Data is collected for Swedish and Danish banks stock return and interest rates on monthly basis for the period January 2000 to April 2018. LÄS MER
- Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen
Sammanfattning : Financial distress is costly for a company and affects many stakeholders. Although models of distress and default have been constructed and developed by researchers for a long time, a model adapted to the unique characteristics of the Swedish market is still missing. LÄS MER