Essays about: "Asset-pricing model"

Showing result 21 - 25 of 184 essays containing the words Asset-pricing model.

  1. 21. Liquidity and its effect on asset returns

    University essay from Uppsala universitet/Företagsekonomiska institutionen

    Author : Philip Mafi; Linnéa Wilhelmsson; [2022]
    Keywords : Asset-pricing; illiquidity premium; liquidity factor;

    Abstract : With data covering 20 years, we test three different liquidity measures' explanatory power in explaining asset returns on the Swedish stock market, and if an illiquidity premium exists. After establishing whether an illiquidity premium exists or not, we test whether the asset pricing models CAPM and the Fama-French three-factor model can benefit from including a liquidity factor. READ MORE

  3. 22. Two Channels, One Anomaly: Diagnosing the Investment Effect

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Tom Lanoizelee; [2022]
    Keywords : Investment Effect; Diagnostic Expectations;

    Abstract : The investment effect is driven by Zhang's rational direct discount-rate channel in the short term but by a non-rational indirect profitability channel in the long term. Unifying Zhang's production based asset pricing with Bordalo et al. READ MORE

  4. 23. Deep learning, LSTM and Representation Learning in Empirical Asset Pricing

    University essay from KTH/Skolan för elektroteknik och datavetenskap (EECS)

    Author : Benjamin von Essen; [2022]
    Keywords : LSTM; empirical asset pricing; deep learning; representation learning; neural networks; LSTM; empirisk tillgångsvärdering; djupinlärning; representationsinlärning; neurala nätverk;

    Abstract : In recent years, machine learning models have gained traction in the field of empirical asset pricing for their risk premium prediction performance. In this thesis, we build upon the work of [1] by first evaluating models similar to their best performing model in a similar fashion, by using the same dataset and measures, and then expanding upon that. READ MORE

  5. 24. Mispricing of Climate Risk

    University essay from Lunds universitet/Företagsekonomiska institutionen

    Author : Lovisa Dahlquist; Lena Maria Tschanhenz; [2022]
    Keywords : Bloomberg GHG estimates; Risk premium for climate risk; ESG reporting; Sustainable investing; Stock market equilibrium; Business and Economics;

    Abstract : Purpose: Study the relationship between stock returns and GHG emissions regarding a risk premium related to greenness. This by using GHG emissions estimated by Bloomberg rather than companies self-reported estimates. Methodology: The study conducts a time-invariant model by cross-sectional OLS regression to estimate the risk premium for greenness. READ MORE

  6. 25. Stock Market Volatility in the Context of Covid-19

    University essay from Jönköping University/IHH, Företagsekonomi

    Author : Liu Kunyu; [2022]
    Keywords : The U.S. stock market; COVID-19; volatility clustering; GARCH models; leverage effect;

    Abstract : The global economy has been severely impacted during the Covid-19 period. The U.S. stock market has also experienced greater volatility. READ MORE