Sökning: "reversion to the mean"
Visar resultat 1 - 5 av 51 uppsatser innehållade orden reversion to the mean.
- Master-uppsats, Lunds universitet/Nationalekonomiska institutionen
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
- Kandidat-uppsats, Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO)
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. Risk Measurement and Performance Attribution for IRS Portfolios Using a Generalized Optimization Method for Term Structure EstimationMaster-uppsats, Linköpings universitet/Produktionsekonomi
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. Profitability Prediction Using Macroeconomic Forecasts: The Informativeness of GDP Growth Expectations and Geographic Segment DisclosuresD-uppsats, Handelshögskolan i Stockholm/Institutionen för redovisning och finansiering
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. Uppvisar den svenska aktiemarknaden mean reversion? : En studie om Stockholmsbörsen, dess sektorer och olika marknadsförhållandenMaster-uppsats, Linköpings universitet/Nationalekonomi; Linköpings universitet/Filosofiska fakulteten
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