Sökning: "excess volatility"

Visar resultat 21 - 25 av 42 uppsatser innehållade orden excess volatility.

1. 21. The Effect of Bond Convexity in Abnormal Volatility

   Kandidat-uppsats,

   Författare :Adam Prinselaar; Johan Särén; [2016-07-06]
   Nyckelord :Convexity; Duration; Fixed-Income; Volatility; U.S. Treasury Bonds; Bond Returns;

   Sammanfattning : According to earlier empirical studies, convexity in the U.S. treasury market is arbitrage-free priced. This paper study whether the arbitrage-free pricing of convexity held even in the financial crisis and the volatile period that followed. LÄS MER

3. 22. Energilagring för distribuerad produktion av solcellsel : Energilagringstekniker som kan öka nätets acceptansnivå för distribuerad produktion

   Uppsats för yrkesexamina på avancerad nivå, Uppsala universitet/Fasta tillståndets elektronik

   Författare :Svante Monie; [2016]
   Nyckelord :Energilagring; solceller; acceptansnivå; bränslecell; vätgas; metanol;

   Sammanfattning : In a future situation with a large implementation of photo voltaic (PV) in the local distribution grid one expects voltage and current related problems to occur due to the large portion of excess electricity from the PV fed into the grid. In this study it was concluded, based on experiences from Germany and Italy, that energy storages are assumed to be beneficial in order to address these problems. LÄS MER

4. 23. The link the market refuses to accept: Political variables and the excess returns on the Swedish stock market

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

   Författare :Madeleine Markusson; Ellen Montén; [2015]
   Nyckelord :Excess return; Stock market; Government; Politics; Sweden;

   Sammanfattning : Excess returns in the Swedish stock market are higher under left-winged than right-winged governments. The differences in excess returns between the governments are neither explained by a higher risk nor a higher interest rate. LÄS MER

5. 24. Asset Pricing with an Excess Volatility Factor : A Multi-Index Model Approach

   Master-uppsats, Stockholms universitet/Finansiering

   Författare :Tommaso Luigi Valli Fassi; [2015]
   Nyckelord :asset-pricing; excess volatility; excess returns; variance difference; Fama- French model; Carhart model; Capital Asset Pricing Model;

   Sammanfattning : This paper evaluates the impact that the integration of an excess volatility factor has on the asset-pricing performance of the Fama-French (1992, 1993) and of the Carhart (1997) models, with reference to the retrospective and prospective explanation of the time series and of the cross section of excess returns on stocks. Specifically, the research intends to determine whether or not a new excess volatility factor is able to capture common sources of excess returns on stocks, related to excess volatility, and left unexplained by the available asset-pricing models. LÄS MER

7. 25. Pairs Trading: Evaluation of profitability and risks on the Swedish stock market

   Master-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Pavel Lisev; Marc Schurer; [2015]
   Nyckelord :cointegration; pairs trading; market-neutrality; rolling window backtest; OMX; Business and Economics;

   Sammanfattning : The turbulent market environment experienced over the last decades has attracted the broad interest of institutional and retail investors towards non-directional and absolute return investment strategies. The scope of this paper mainly concerns the investigation of whether a pairs trading strategy based on the cointegration approach generates excess returns on the Swedish equity market or fails to meet initial expectations. LÄS MER