Sökning: "momentum return"

Visar resultat 1 - 5 av 95 uppsatser innehållade orden momentum return.

  1. 1. Har Carharts fyrfaktormodell en högre förklaringsgrad än Fama-Frenchs trefaktormodell? : En kvantitativ studie som utvärderar Carharts fyrfaktormodell och Fama-Frenchs trefaktormodell på den svenska aktiemarknaden.

    Kandidat-uppsats, Södertörns högskola/Institutionen för samhällsvetenskaper

    Författare :Marsa Teklay Zeray; [2022]
    Nyckelord :Carhart four-factor model; Fama-French three-factor model; Swedish stock market; Degree of explanation; Adjusted R-square; Portfolio return; Risk; Carhart fyrfaktormodell; Fama-French trefaktormodell; Svenska aktiemarknaden; Förklaringsgrad; Justerad R-kvadrat; Portföljavkastning; Risk;

    Sammanfattning : Syfte: Syftet med studien är att analysera och utvärdera Carharts fyrfaktormodells och Fama- Frenchs trefaktormodells prestanda vid portföljavkastning på den svenska aktiemarknaden, under perioden 2011–2020. Teori: Denna studie grundar sig i den effektiva marknadshypotesen, Fama och Frenchs trefaktormodell samt Carharts fyrfaktormodell. LÄS MER

  2. 2. Is Green the New Black? A Study of the Role of Sustainability in Nordic Venture Capital

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

    Författare :Hanna Louise Forsman; Martin Gothefors; [2022]
    Nyckelord :Venture Capital; Sustainability; ESG Investing; Impact Investing; Case Study;

    Sammanfattning : This thesis investigates the role of sustainability in Nordic venture capital. Using stakeholder interviews, the thesis aims to uncover the key drivers behind the industry sustainability momentum. LÄS MER

  3. 3. Volatility-managed portfolios in the international markets

    Master-uppsats, Stockholms universitet/Finansiering

    Författare :Soroush Hasanpour; Emil Adamsson; [2022]
    Nyckelord :Financial Markets; Asset-pricing; asset pricing; Equity; Equity Markets; Volatility; Volatility-management; international markets; Volatility pricing; Pricing anomalies;

    Sammanfattning : Volatility-managed portfolios offer mixed returns in an international setting based on ex-ante information. The results of this paper further strengthen the theory that the variability of excess returns from volatility-management are more dependent on underlying investor strategy rather than differences of global markets. LÄS MER

  4. 4. Evaluation of portfolio optimization methods on decentralized assets and hybridized portfolios

    Master-uppsats, KTH/Matematik (Avd.)

    Författare :Reza Salam Dalfi; Noel Mattar; [2022]
    Nyckelord :Traditional assets; DeFi; Cryptocurrencies; CVAR; FLPM; MSV; Portfolio; Optimization; Risk measurements; Traditionella tillgångar; DeFi; Cryptocurrencies; CVAR; FLPM; MSV; Portfölj optimering; Riskmått;

    Sammanfattning : The market for decentralised financial instruments, more commonly known as cryptocurrencies, has gained momentum over the past recent years and the application areas are many. Modern portfolio theory has for years demonstrated its applicability to traditional assets, such as equities and other instruments, but to some extent omitted the application of mathematical portfolio theory with respect for cryptocurrencies. LÄS MER

  5. 5. Residual Momentum and Volatility – Managed Portfolios : A Study on the Swedish Equity Market

    Master-uppsats, KTH/Fastighetsföretagande och finansiella system

    Författare :Erik Huss; Mario Ishak; [2022]
    Nyckelord :Residual Momentum; Volatility Management; Asset Pricing; Volatility Scaling; Momentum; Transaction Costs; Idiosynkratiskt Momentum; Riskstrategier; Tillgångsprissättning; Momentum; Transaktionskostnader;

    Sammanfattning : In this paper, we present empirical results from the Swedish equity market when testingdifferent strategies aiming at enhancing the performance of a momentum strategy, over a timeperiod from 2000 to 2021. Similar to research conducted on other markets, we find theexistence of a momentum premium on the Swedish equity market, but with a return that is fattailed and negatively skewed. LÄS MER