Sökning: "idiosyncratic return volatility"

Visar resultat 6 - 10 av 14 uppsatser innehållade orden idiosyncratic return volatility.

  1. 6. The Relation Between Idiosyncratic Volatility and Returns for U.S. Mutual Funds

    Master-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Kevin Skogström Lundgren; [2016]
    Nyckelord :Idiosyncratic volatility; Mutual funds; Carhart four-factor model; ARIMA model; Carhart four-factor alpha; Business and Economics;

    Sammanfattning : Theoretically the relation between returns and idiosyncratic volatility should be non-existent or positive. Many empirical studies confirm this but Ang, Hodrick, Xing and Zhang (2006) contest the conventional view and find a negative relationship for a sample of U.S. firms. LÄS MER

  3. 7. Irreversible Investments under Uncertainty and Inside-ownership. Real Option Approach in a Reduced Form Hazard Model

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Magnus Brandt; Jesper Börjesson; [2015-07-13]
    Nyckelord :Real options; irreversibility; hazard model; inside-ownership; systematic risk; idiosyncratic risk;

    Sammanfattning : This thesis investigates the probability of making a marginal investment in 33 Swedish Large Cap firms from 2005 to 2015. We use marginal rate of return as a trigger event in an option to delay. This is then examined in a reduced form hazard model using the Black & Scholes option parameters. LÄS MER

  4. 8. Optimising Emerging Market Currency Carry Trades using Risk Indicators

    Master-uppsats, KTH/Industriell ekonomi och organisation (Inst.)

    Författare :Wiktor Mlynarczyk; Mattias Berggren; [2015]
    Nyckelord :currency carry trade; emerging markets; risk indicator; valutahandel; tillväxtmarknader; riskindikator;

    Sammanfattning : The currency carry trade – whereby one simultaneously borrows in a currency with low interest rate and invests in a currency with high interest rate – is estimated to be at least USD 2.0 trillion in emerging markets alone. LÄS MER

  5. 9. Reconciling Quality and Idiosyncratic Volatility Puzzles: A Study of the Effect of Stock Fundamentals on Pricing and Firm-Specific Risk

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

    Författare :Julius Juodinis; Ivan Mihhejev; [2014]
    Nyckelord :quality; fundamentals; idiosyncratic return volatility; pricing;

    Sammanfattning : The aim of the paper is twofold. First - to investigate the relation between quality of a stock, as measured by a set of its fundamentals, and its idiosyncratic return volatility. LÄS MER

  7. 10. A COEXCEEDANCE APPROACH ON FINANCIAL CONTAGION

    Master-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Dinh-Vinh Vo; [2013]
    Nyckelord :financial contagion; coexceedance; regional macro-finance variables; global shocks; multinomial logit model.; Business and Economics;

    Sammanfattning : The paper sheds light on financial contagion within the Euro Area and Asia, and contagion from the Euro Area to Asia during two recent crises: the global financial crisis and European sovereign debt crisis. Applying the multinomial logit regression model, the paper investigates how the macro-finance variables affect the coincidence of extreme negative returns (coexceedances). LÄS MER