Sökning: "risk-return trade-off"

Visar resultat 1 - 5 av 12 uppsatser innehållade orden risk-return trade-off.

  1. 1. 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

  3. 2. The Swedish equity market: Anomalies and pricing contributions using portfolio sorting techniques

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Max Hulth; Gustav Nilsson; [2018-07-04]
    Nyckelord :Asset pricing; Anomalies; Portfolio sorting; CAPM; Fama French three-factor model; Carhart four-factor model;

    Sammanfattning : The Capital Asset Pricing Model (CAPM) is a widely used tool to describe the risk-return relationship for stocks. Several studies focusing on asset pricing have during the last decades indicated that the one-factor model CAPM is associated with limitations to explain the cross-sectional and time variation in expected stock returns. LÄS MER

  4. 3. Financial Volatility and the Leverage Effect on the Swedish Stock Exchange

    Master-uppsats, KTH/Industriell ekonomi och organisation (Inst.)

    Författare :Thelma Björklund; Hedvig Jonsson; [2018]
    Nyckelord :Volatility; Leverage!effect; Risk; Return; Clustering; Modiglian !and Miller; EGARCH; Capital!structure;

    Sammanfattning : In today’s financial markets, volatility is a fundamental concept in regards of the risk assessment of assets and instruments. Financial volatility is commonly used to measure the quantitative aspects of risk and is given a significant amount of attention in past literature and research. LÄS MER

  5. 4. Testing the Adaptive Markets Hypothesis : An examination of the variability of the risk-return trade-off over time and in different market environments

    Kandidat-uppsats, Södertörns högskola/Företagsekonomi

    Författare :Steve Sherlock; [2018]
    Nyckelord :Adaptive markets hypothesis; risk-return trade-off; volatility anomaly; market environment;

    Sammanfattning : A new hypothesis, The Adaptive Markets Hypothesis (AMH), is applied to the Swedish stockmarket context by testing the variability of the risk-return trade-off over different investment horizons and market environments. Yearly returns and volatility are measured on OMXS30 index between1986 and 2017 over a variety of different investment horizons. LÄS MER

  7. 5. Financial Volatility and the Leverage Effect : A study of the Swedish Stock Exchange

    Master-uppsats, KTH/Industriell ekonomi och organisation (Inst.)

    Författare :Thelma Björklund; Hedvig Jonsson; [2018]
    Nyckelord :;

    Sammanfattning : In today’s financial markets, volatility is a fundamental concept in regards of the risk assessmentof assets and instruments. Financial volatility is commonly used to measure the quantitativeaspects of risk and is given a significant amount of attention in past literature and research. LÄS MER