Sökning: "time series momentum"

Visar resultat 16 - 18 av 18 uppsatser innehållade orden time series momentum.

1. 16. Portfolio Pricing with Measures of Conditional Skewness and Kurtosis

   Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Natalia Lelis; [2011]
   Nyckelord :Asset Pricing; CAPM; Time-varying Moments; Conditional Skewness; Conditional Kurtosis; Business and Economics;

   Sammanfattning : On the ground of a highly dynamic economic environment, the necessity for time-varying risk measures emerged. Inclusion of higher-order conditional moments in asset pricing models is a very common topic in recent research articles. LÄS MER

3. 17. Cross-Section of Stock Returns: : Conditional vs. Unconditional and Single Factor vs. Multifactor Models

   Master-uppsats, Handelshögskolan vid Umeå universitet

   Författare :Rustam Vosilov; Nicklas Bergström; [2010]
   Nyckelord :Cross-section of stock returns; asset-pricing model empirical tests; CAPM; Fama-French; conditional asset-pricing models; time-varying beta; time-varying risk; conditional beta; cross-sectional regression; time series regression; financial market anomalies; value premium; size premium; momentum effect;

   Sammanfattning : The cross-sectional variation of stock returns used to be described by the Capital Asset Pricing Model until the early 90‟s. Anomalies, such as, book-to-market effect and small firm effect undermined CAPM‟s ability to explain stock returns and Fama & French (1992) have shown that simple firm attributes, like, firm size and book-to-market value can explain the returns far better than Beta. LÄS MER

4. 18. Assessment and empirical analysis of Finland emigration in response to Selected economic Pull-Push deriving forces: 1960-2008

   Magister-uppsats, Lunds universitet/Ekonomisk-historiska institutionen

   Författare :Tamrat Wube Liyew; [2010]
   Nyckelord :time series analysis; Finland emigrants; push-pull economic forces; OLS; Social Sciences;

   Sammanfattning : The purpose of the study is to investigate the impact, in magnitude and direction, of some preliminary push-pull economic forces on the decision of Finland people to migrate to Sweden in the time period 1960-2009. It also aims to see how different people respond to those forces active based on their sex, marital status and age, 15-30 and 50-65 and strives to oversee which economic factors were more affecting and which were not, which particular forces, push or pull economic determinants, tend Finns to migrate to Sweden. LÄS MER