Essays about: "Asset pricing bubble"

Found 5 essays containing the words Asset pricing bubble.

  1. 1. Volatility-managed portfolios in the international markets

    University essay from Stockholms universitet/Finansiering

    Author : Soroush Hasanpour; Emil Adamsson; [2022]
    Keywords : Financial Markets; Asset-pricing; asset pricing; Equity; Equity Markets; Volatility; Volatility-management; international markets; Volatility pricing; Pricing anomalies;

    Abstract : Volatility-managed portfolios offer mixed returns in an international setting based on ex-ante information. The results of this paper further strengthen the theory that the variability of excess returns from volatility-management are more dependent on underlying investor strategy rather than differences of global markets. READ MORE

  3. 2. Asset pricing and risk evaluation in the housing market : An empirical analysis of the Swedish housing market

    University essay from KTH/Fastigheter och byggande

    Author : Panagiotis Matiakis; [2019]
    Keywords : Risk assessment; Swedish housing market; asset pricing; quantitative analysis; beta modelling; causal relationship; Risk analys; Svensk bostadsmarknad; tillgångsvärdering; kvantitativ analys; beta modellering; orsakssamband;

    Abstract : During the recent years, the Swedish housing market has developed into a topic of major interest, both domestically and internationally. The sky-rocketing prices, the uprising demand together with the housing shortage, and the market bubble ongoing debate, have resulted in the discussion of risk being more relevant than ever before. READ MORE

  4. 3. A Study on the Low Volatility Anomaly in the Swedish Stock Exchange Market : Modern Portfolio Theory

    University essay from Linköpings universitet/Nationalekonomi; Linköpings universitet/Fysik och elektroteknik

    Author : George Abo Al Ahad; Denis Gerzic; [2017]
    Keywords : Fama and Macbeth; Fama and French; Low Volatility Anomaly; Stock; Market; Portfolio Theory; CAPM; Econometrics; Expected return forecasting;

    Abstract : This study investigates, with a critical approach, if portfolios consisting of high beta stocks yields more than portfolios consisting of low beta stocks in the Swedish stock exchange market. The chosen period is 1999-2016, covering both the DotCom Bubble and the financial crisis of 2008. READ MORE

  5. 4. Identifying asset pricing bubbles: Testing for explosive behavior in the NASDAQ and STOXX 600 Europe Technology indices

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Tim Smits Van Oyen; Mathias Elmer; [2016]
    Keywords : Asset pricing bubble; explosive behavior; right-tailed ADF; forward recursive regression; Business and Economics;

    Abstract : A forward recursive estimation method is used to examine stock market data on unit root against explosive behavior as an indication of financial exuberance. Through specific dividend-stock pricing modeling, the recursive implementation of a right-tailed ADF test allows for directly testing the price index series on explosive behavior and its corresponding dividend series on non-explosive behavior. READ MORE

  6. 5. Reaping the Size and Value Effects: Controlling for Pure Quality

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : August Hansson; Carl-Henrik Källroos; [2015]
    Keywords : Quality; Size effect; Value effect; Trading strategy; Asset pricing;

    Abstract : We investigate if small and low Market-to-Book firms have higher risk-adjusted returns when controlling for quality. We define quality characteristics as something investors should be willing to pay a higher price for, all else equal. The analysis is based on all common stocks in the Swedish stock market for year 1996- 2014. READ MORE