Sökning: "malkiel"

Hittade 3 uppsatser innehållade ordet malkiel.

  1. 1. The Impact of Institutional Ownership on Idiosyncratic Volatility: A study of Swedish companies listed on the OMX 2004-2007

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

    Författare :Klas Landelius; Pontus Jörnhagen; [2008]
    Nyckelord :Volatility; Idiosyncratic Volatility; Institutional Owners; Ownership;

    Sammanfattning : How does idiosyncratic volatility relate to the proportion of institutional ownership in a company? This thesis investigates the question by running cross-sectional regressions, using panel data on Swedish firms included in OMX Mid Cap and Large Cap between the years 2004 and 2007. We start by constructing a measure of idiosyncratic volatility. LÄS MER

  3. 2. Idiosyncratic Volatility - Evidence from the Nordic Equity Markets

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

    Författare :Svante Jonasson; Dimitris Karakitsios; [2006]
    Nyckelord :idiosyncratic; volatility; decomposition; nordic;

    Sammanfattning : Using the disaggregated approach to study the volatility of common stocks at the market, industry, and firm levels, introduced by Campbell, Lettau, Malkiel, and Xu (2001), we present empirical evidence on the volatility composition of stocks traded on the Nordic equity markets. Our results reject the common notion of rising stock volatility with respect to all three components of volatility, but unveil recent periods of increased high-frequency noise. LÄS MER

  4. 3. Volatility Decomposition - Empirical Patterns of the Idiosyncratic Risk on the Swedish Stock Market

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Isak Ahlbom; [2005]
    Nyckelord :Idiosyncratic Volatility; Stock Market Volatility; Unit Root; Trend Testing; Granger-causality; Predictive Power; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

    Sammanfattning : We decompose total stock market volatility into market-, industry- and firm-specific components to empirically explore if and how the level of idiosyncratic volatility has changed over time. The econometric methods of Campbell, Lettau, Malkiel and Xu (2001) are applied to the Swedish stock market 1985 to 2004. LÄS MER