Essays about: "Asset-pricing model"
Showing result 11 - 15 of 184 essays containing the words Asset-pricing model.
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11. Sustainable investing in the Nordics : A comparative analysis of ESG portfolios
University essay from Umeå universitet/FöretagsekonomiAbstract : Sustainability has become a pressing global issue due to environmental and social challenges caused by human activity which has led to a rise in sustainable investing, including ESG investing. Research on financial performance and sustainable investing have not only showed mixed results, but they are also generally conducted in greater markets such as the US, Europe, and Asia-pacific markets. READ MORE
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12. Economic Policy Uncertainty and Stock Market Performance: The Role of CSR
University essay from Handelshögskolan i Stockholm/Institutionen för redovisning och finansieringAbstract : This research study aims to examine the association between economic policy uncertainty (EPU) and stock market performance, and to investigate whether corporate social responsibility (CSR) has an impact on this relationship. The dataset used in this study comprises firms listed on the S&P 500 index from 2013 to 2022 and is applied on two models, the Capital Asset Pricing Model and Fama French Three Factor Model. READ MORE
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13. Statistical Modelling of Price Difference Durations Between Limit Order Books: Applications in Smart Order Routing
University essay from KTH/Matematisk statistikAbstract : The modern electronic financial market is composed of a large amount of actors. With the surge in algorithmic trading some of these actors collectively behave in increasingly complex ways. Historically, academic research related to financial markets has been focused on areas such as asset pricing, portfolio management and financial econometrics. READ MORE
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14. How Do Unexpected Changes in Interest Rates Explain the Variation of Excess Return: Testing an Extended Fama–French Five-Factor Model on the Swedish Stock Market
University essay from KTH/Skolan för industriell teknik och management (ITM)Abstract : In the realm of asset pricing models, the Fama-French five-factor model has become a foundational framework for explaining the variation of excess stock returns. However, as financial markets continue to evolve, there arises a need to explore potential extensions to capture additional sources of risk and return. READ MORE
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15. Forecasting Stock Prices Using an Auto Regressive Exogenous model
University essay from KTH/Skolan för teknikvetenskap (SCI)Abstract : This project aimed to evaluate the effectiveness of the Auto Regressive Exogenous(ARX) model in forecasting stock prices and contribute to research on statisticalmodels in predicting stock prices. An ARX model is a type of linear regression modelused in time series analysis to forecast future values based on past values and externalinput signals. READ MORE