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  1. 1. 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