Sökning: "reversion to the mean"

Visar resultat 1 - 5 av 51 uppsatser innehållade orden reversion to the mean.

  1. 1. CAPM Beta and Geopolitical Risk

    Master-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Filip Ternemo; [2022]
    Nyckelord :Black Swan Investing; CAPM Beta; Excess Returns; Geopolitical Risk; Mean Reversion.; Business and Economics;

    Sammanfattning : Recent years, geopolitical risks have dominated the news feed for the financial markets. There have historically been some geopolitical events that have resulted in major declines in the stock market and such a market day can be classified as a geopolitical Black Swan. LÄS MER

  2. 2. A Study of the Relationship Between Mean Reversion and a Black Swan Event

    Kandidat-uppsats, Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO)

    Författare :Erik Makra; Felix Snaula; [2022]
    Nyckelord :Mean Reversion; Black Swan; Efficient Market Hypothesis; Behavioural Finance; Dickey-Fuller Unit Root Test;

    Sammanfattning : This study examines the relationship between mean reversion and a black swan event on the Swedish stock market. The data is taken from the Mid Cap and the Large Cap and then compared with the OMXS index. LÄS MER

  3. 3. Risk Measurement and Performance Attribution for IRS Portfolios Using a Generalized Optimization Method for Term Structure Estimation

    Master-uppsats, Linköpings universitet/Produktionsekonomi

    Författare :Fredrik Gerdin Börjesson; Christoffer Eduards; [2021]
    Nyckelord :Interest rate measurement; term structures; multiple yield curves; principal component analysis; systematic risk; risk factors; term structure simulation; Latin hypercube sampling with dependence; risk measurement; value-at-risk; expected shortfall; interest rate swap; performance attribution;

    Sammanfattning : With the substantial size of the interest rate markets, the importance of accurate pricing, risk measurement and performance attribution can not be understated. However, the models used on the markets often have underlying issues with capturing the market's fundamental behavior. LÄS MER

  4. 4. Profitability Prediction Using Macroeconomic Forecasts: The Informativeness of GDP Growth Expectations and Geographic Segment Disclosures

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för redovisning och finansiering

    Författare :Gustav Hall; Valter Lindhagen; [2021]
    Nyckelord :Profitability prediction; Out-of-sample; Return on net operating assets; Macro to micro; Geographic segments;

    Sammanfattning : Many firms today have an international footprint which means that they are exposed to different macroeconomic environments across the world. This Master Thesis investigates the usefulness of macroeconomic forecasts for the prediction of firm profitability. LÄS MER

  5. 5. Uppvisar den svenska aktiemarknaden mean reversion? : En studie om Stockholmsbörsen, dess sektorer och olika marknadsförhållanden

    Master-uppsats, Linköpings universitet/Nationalekonomi; Linköpings universitet/Filosofiska fakulteten

    Författare :Oskar Fors Rosén; Stefan Liderfelt; [2021]
    Nyckelord :Den effektiva marknadshypotesen; mean reversion; fraktionell integrering; långsiktigt minne; random walk;

    Sammanfattning : The purpose of this study is to examine whether the returns on the Stockholm Stock Exchange and its different sectors is mean reverting during the period 2003–2019. In addition to the examination of the entire period, the study also examines the periods before, during and after the global financial crisis. LÄS MER