Sökning: "market-neutrality"
Visar resultat 1 - 5 av 6 uppsatser innehållade ordet market-neutrality.
1. Preventing VAT Fraud without Compromising the Competitive Terms of the Internal Market. A study in whether the CJEU interprets the right of Member States to fight VAT fraud under Article 273 VAT Directive without jeopardising the competitive terms of the internal market
Magister-uppsats, Göteborgs universitet/Juridiska institutionenSammanfattning : The consequences of VAT fraud are many and far-reaching. Accordingly, Member States have both a right and an obligation to fight tax fraud. However, the same measures aimed at preventing tax fraud can compromise the establishment and functioning of the internal market. LÄS MER
2. Can pairs trading be used during a financial crisis?
Kandidat-uppsats, Uppsala universitet/Statistiska institutionenSammanfattning : In this paper, it is investigated whether pairs trading is a suitable trading strategy during a financial crisis. It is written in the subject of financial statistics and aims to particularly focus on the statistical aspects of the strategy. LÄS MER
3. An Empirical Evaluation of the Return and Risk Neutrality of Market Neutral Hedge Funds
Kandidat-uppsats,Sammanfattning : Market neutral is a widely-used investment style for hedge funds. By analysing a data set consisting of 7913 hedge funds, we assess their historical ability to stay neutral towards the U.S. equity market in terms of return and return volatility. LÄS MER
4. An Empirical Assessment of Statistical Arbitrage : A Cointegrated Pairs Trading Approach
Kandidat-uppsats, Uppsala universitet/Statistiska institutionenSammanfattning : This paper assesses the aspect of market neutrality for a pairs trading strategy built on cointegration. This was conducted by evaluating the strategy?s performance during a negative market environment, 2007-06-01 to 2008-12-30, and a positive market environment, 2013-05-31 to 2014-12-30, for the stocks listed in the OMXS30 index. LÄS MER
5. Pairs Trading: Evaluation of profitability and risks on the Swedish stock market
Master-uppsats, Lunds universitet/Nationalekonomiska institutionenSammanfattning : 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