Sökning: "skill returns"

Visar resultat 1 - 5 av 18 uppsatser innehållade orden skill returns.

  1. 1. The illiquidity exposure factor: An overlooked driver of mutual fund performance

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Jakob Häger; Tim Hansson; [2023-06-29]
    Nyckelord :Illiquidity; liquidity; mutual funds; fund performance; factor models; alpha;

    Sammanfattning : This paper examines if Swedish-focused mutual funds with more illiquid holdings produce higher alpha. By extending the classic Fama and French five-factor model, we pinpoint the effect of illiquidity in underlying holdings on mutual fund alpha generation through a two-step regression model with data between 2019-2022. LÄS MER

  3. 2. Coverage initiations : an exploratory casestudy

    Master-uppsats, KTH/Skolan för industriell teknik och management (ITM)

    Författare :Lina Ek; Maria Karlsson Osipova; [2023]
    Nyckelord :Commissioned equity research; Initiation report; Event study; Abnormal return; Trading volume; Uppdragsanalys; Initieringsrapport; Eventstudie; Abnormal avkastning; Handelsvolym;

    Sammanfattning : This master thesis is exploring the influence of coverage initiation reports issued by commissioned equity research analysts on stock prices and trading volumes. Equity research actors, with their expertise and skill, are providing the market with valuable information and filling the knowledge gaps that investors may have. LÄS MER

  4. 3. Evaluating the Effect of Meta-Labeling on Equity Market Neutral Strategy

    Kandidat-uppsats, Lunds universitet/Statistiska institutionen

    Författare :Niclas Wölner-Hanssen; [2023]
    Nyckelord :Meta-Labeling; Probabilistic Sharpe Ratio; Equity Market Neutral; Mathematics and Statistics;

    Sammanfattning : This thesis aims to construct an Equity Market Neutral (EMN) strategy framework to predict intraday excess returns of stocks within the S&P 500 index by utilizing machine learning techniques proposed by (López de Prado, 2018). The constructed EMN strategies within the framework utilizes techniques such as Stacked Single Feature Importance (SSFI), sample weighting, Probabilistic Sharpe Ratio (PSR), and meta-labeling. LÄS MER

  5. 4. Gynnas kvinnor när icke-kognitiv förmåga värdesätts högre? : En kvantitativ studie över effekten av ökad efterfrågan på icke-kognitiva förmågor på kvinnors relativlöner inom den svenska arbetsmarknaden.

    Kandidat-uppsats, Uppsala universitet/Nationalekonomiska institutionen

    Författare :Lova von Beckerath; Emma Lilja; [2023]
    Nyckelord :Non-cognitive skills; Swedish labor market; relative salaries; municipal panel data; fixed-effect-model FEM ; Icke-kognitiv förmåga; svensk arbetsmarknad; relativlön; kommunpaneldata; fixed-effect-model FEM ;

    Sammanfattning : Sedan 2000-talets början har avkastningen på icke-kognitiva förmågor ökat på arbetsmarknaden till följd av bland annat skill-biased technological change. Grupper som besitter höga icke-kognitiva förmågor bör därför gynnas på arbetsmarknaden. LÄS MER

  7. 5. Skill, Scale and Investor Return in Established and Emerging Markets - An empirical study of equity mutual fund performance between markets with contrasting characteristics

    Kandidat-uppsats,

    Författare :Olle Fröling; Olle Wingstrand; [2022-06-29]
    Nyckelord :Equity Mutual Funds; Decreasing Returns to Scale; Alpha; Fund Skill; Fama-French Five-Factor Model; Nordic Equity Funds; Asian Equity Funds; Fixed Effects;

    Sammanfattning : In this report we empirically analyze the effects of returns to scale for equity mutual funds in the Nordic and Asian regions. We also investigate whether or not funds generate alpha (i.e., have skill). LÄS MER