Sökning: "volatility; risk; return"
Visar resultat 1 - 5 av 186 uppsatser innehållade orden volatility; risk; return.
1. Unveiling the Relevancy of Momentum Strategies- A study on the Swedish Equity Market
Master-uppsats, Göteborgs universitet/Graduate SchoolSammanfattning : This study investigates the performance of the traditional return momentum strategy and the residual momentum strategy on the Swedish market over the period 1990 to 2022. The residual momentum strategy show higher risk-adjusted return compared to the traditional return momentum strategy in equally weighted portfolios, and the opposite in value-weighted portfolios. LÄS MER
2. Comply or Die: A Study of ESG Factor Returns and Volatility in the Nordic Countries from 2016 to 2022
D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiSammanfattning : Using corporate environmental, social and governance (ESG) reporting data from 611 publicly traded firms in the Swedish House of Finance's Nordic Compass database, we estimate stock return and volatility exposures to an ESG factor during the period 2016-2022 in the Nordics. Using a Fama-Macbeth methodology, we find that during this time in the Nordic Countries exposure to an ESG factor is compensated with a risk premium and a volatility reduction in a Fama French 4 Factor model. LÄS MER
3. There Is Nothing Certain But The Uncertain
Magister-uppsats, Lunds universitet/Nationalekonomiska institutionenSammanfattning : Risk and risk aversion are crucial concepts in finance. Models in finance typically assume a known probability distribution of returns, which does often not hold in reality. This papers aims to measure the uncertainty surrounding the probability distribution in equity markets and to evaluate if such uncertainty is priced. LÄS MER
4. Risk Management and Sustainability - A Study of Risk and Return in Portfolios With Different Levels of Sustainability
Master-uppsats, KTH/Matematik (Avd.)Sammanfattning : This thesis examines the risk profile of Electronically Traded Funds and the dependence of the ESG rating on risk. 527 ETFs with exposure globally were analyzed. Risk measures considered were Value-at-Risk and Expected Shortfall, while some other metrics of risk was used, such as the volatility, maximum drawdown, tail dependece, and copulas. LÄS MER
5. Financing the Nordic Energy Transition: An Empirical Analysis of Leverage, Pricing and Return Expectations in Renewable Energy Transactions
D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiSammanfattning : This study examines whether leverage and pricing in transactions of renewable energy infrastructure assets are impacted by the same factors that have been found to determine financial structures in buyout transactions. It primarily draws on a proprietary data set of 261 wind and solar photovoltaic (PV) transactions in the Nordics between 2011 and 2023 and explores the effect of acquirer-, asset-, and industry-specific characteristics as well as time-varying variables on leverage, pricing and return expectations. LÄS MER