Sökning: "momentum return"

Visar resultat 16 - 20 av 104 uppsatser innehållade orden momentum return.

1. 16. Ska man klappa börsen med- eller mothårs? : En studie om momentum- och contrarianstrategiers effekt på den svenska marknaden.

   Magister-uppsats, Linköpings universitet/Institutionen för ekonomisk och industriell utveckling; Linköpings universitet/Filosofiska fakulteten

   Författare :Josef Dotevall; Kristoffer Ekengren Landenmark; [2022]
   Nyckelord :Behavioural finance; psychological biases; financial crises; rationality; covid-19; generation Z; Beteendefinans; börspsykologi; bias; finansiella kriser; rationalitet; covid-19; generation Z;

   Sammanfattning : Sammanfattning Titel: Ska man klappa börsen med- eller mothårs? Författare: Josef Dotevall och Kristoffer Ekengren Landenmark Handledare: Katarina Eriksson Bakgrund: De allra flesta med ett någorlunda intresse eller erfarenhet från den finansiella marknaden har hört talas om den effektiva marknadshypotesen. Den säger att det inte är möjligt att överavkasta marknaden över tid genom att systematiskt implementera investeringsstrategier. LÄS MER

3. 17. Cryptocurrency Return Predictors - A Replicative Reassessment Rising Stablecoin Growth - Cryptocurrency Return Predictors in New Market Conditions

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

   Författare :Erik Stålman; Alexander Ripe; [2022]
   Nyckelord :Cryptocurrency; Factors Model; Zero-Investment Long-;

   Sammanfattning : We successfully construct nine significant cryptocurrency return predictor strategies based on market capitalization, momentum and volatility characteristics. We replicate the methods used in the article "Common Risk Factors In Cryptocurrency" using a larger and more recent dataset encompassing changed cryptocurrency market conditions and asset composition (Liu, Tsyvinski, Wu, 2022). LÄS MER

4. 18. Performance of Small- and Large-cap stock portfolios- The importance of market anomalies across business cycles

   Master-uppsats, Göteborgs universitet/Graduate School

   Författare :Erik Hulth; [2021-06-30]
   Nyckelord :Stock performance; Market anomalies; Asset pricing; Portfolio sorting techniques; Factor-portfolio sorting techniques; Value effect; Size effect; Momentum effect; Temporal influences; Business cycles; GDP-gap; Single-and Multi- Factor models; CAPM; Fama-French Three-Factor model; Carhart Four-Factor model; Risk-adjusted equity returns; Sharpe Ratio; Jensen´s alpha; NASDAQ OMX and NYSE;

   Sammanfattning : This Master´s thesis investigated the importance of the market anomalies size (market capitalization), value (Book-to-Market ratio) and momentum (lagged short-term momentum) for equity returns of small- and large-cap composite stock portfolios. The study focused on two contrasting stock markets (NASDAQ OMX and NYSE) across domestic business cycles over the time-period 2006 to 2021. LÄS MER

5. 19. Hierarchical Clustering To Improve Portfolio Tail Risk Characteristics

   Master-uppsats, Lunds universitet/Matematisk statistik

   Författare :Adam Eidenvall; [2021]
   Nyckelord :Hierarchical Clustering; Asset Allocation; Portfolio Construction; Graph Theory; Machine Learning; Risk Parity; Regime Shift; Bootstrapping; Walk Forward; Mathematics and Statistics;

   Sammanfattning : Many agree that estimating portfolio risks has better estimation possibilities, than estimations on returns. Therefore investors attempts to construct better, more efficient riskmanaged portfolios by diversifying portfolios through factors rather than traditional asset classes. LÄS MER

7. 20. The Momentum Premium: An Intermediary Asset Pricing Perspective

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

   Författare :Simon Eliasson; David Öhlund; [2021]
   Nyckelord :Momentum; Intermediary Asset Pricing; Time-Varying Risk;

   Sammanfattning : We attempt to explain the momentum premium using time-varying risk under the frictions of financial intermediation. Our conditional CAPM model reveals positive covariation between momentum's beta and the expected market risk premium. LÄS MER