Essays about: "Asset-pricing model"
Showing result 6 - 10 of 184 essays containing the words Asset-pricing model.
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6. Risk Management and Sustainability - A Study of Risk and Return in Portfolios With Different Levels of Sustainability
University essay from KTH/Matematik (Avd.)Abstract : 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. READ MORE
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7. Empirical Asset Pricing via Machine Learning - Evidence from the Chinese stock market
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : This thesis builds upon existing research on the application of machine learning in asset pricing in the US and European stock markets, by incorporating unique predictive indicators specific to the Chinese stock market, to explore whether machine learning can also be successfully applied in the Chinese stock market. Empirical results show that machine learning models outperform OLS significantly in predicting A-share returns, and this conclusion also applies to different portfolios we have constructed. READ MORE
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8. CARs In the Driver’s Seat: The Battle Between Capital and Stock Performance
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : After the financial crisis of 2008, the Basel Committee on Banking Supervision created the latest Accord for capital requirements: The Basel III Accord. Basel III set higher requirements for both quantity and quality of capital, with the aim to mitigate systemic risk. READ MORE
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9. Asset Pricing in Different Periods of Stock Market Volatility : The Varied Effectiveness of Carhart's Four-Factor Model in the Swedish Market
University essay from Umeå universitet/FöretagsekonomiAbstract : Investing in the Swedish stock market has over time proven to be an effective way to increase wealth. Nationally speaking, Sweden’s population is also one of the best in the world at investing their savings. Four out of five swedes invest at least some part of their private savings into mutual funds which approximately amounts to 8. READ MORE
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10. Revisiting the Idiosyncratic Volatility Puzzle and MAX Effect in European Equity Markets
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : In light of traditional financial theory's argument that firm-specific risk should not impact future returns, the findings of the Idiosyncratic Volatility (IVOL) puzzle, as well as the Maximum Daily Returns (MAX) effect, have sparked a vibrant academic debate. Using data from January, 1993, to December, 2022, this paper presents European aggregate and country-level evidence at the intersection between the two asset pricing anomalies. READ MORE