Essays about: "Excess return"

Showing result 21 - 25 of 174 essays containing the words Excess return.

  1. 21. Are Sin Stocks Worth the Sin?

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Theodor Stenmo; Alexander Hjorth; [2022]
    Keywords : Sin stocks; Excess returns; Unethical investing; U.S. market; Rocially responsible investing;

    Abstract : In this paper, we empirically test whether sin stocks outperform the financial market in the United States. The time period studied is from 2007-2021. We create a portfolio of all the publicly traded U.S. READ MORE

  3. 22. TORN I SKOG

    University essay from KTH/Arkitektur

    Author : Oskar Forsblom; [2022]
    Keywords : Towers; aquaponics; vertical farming; forest;

    Abstract : This project focuses on sustainable production. The monocultural large-scale agriculture and forestry contributes with great strain on nature in the form of deforestation and eutrophication. At the same time, production is a central part of rural supply, and inthe extension also for all residents of the country. READ MORE

  4. 23. The Size and Value effect of The Fama and French Three Factor Model. Do the variables remain meaningful or redundant? Evidence from the Swedish Stock market 2007-2016

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Marcus Einstulen; [2021]
    Keywords : Asset Pricing Model; Capital Asset Pricing Model; Fama and French Three Factor Model; Portfolio Theory; Swedish Stock Market; Regressions; Students t-test; Business and Economics;

    Abstract : This thesis compared the explanatory power on excess return between the Capital Asset Pricing Model and the Fama and French Three Factor Model on the Swedish Market. Fur- thermore, an evaluation of the independent variables included in the Fama and French Three Factor Model was done. READ MORE

  5. 24. By Vice or Virtue: Does it Pay Off to Sin During Market Downturns?

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : William Sandell; Albin Lindgren; [2021]
    Keywords : Sin stocks; Socially responsible investing; Recession resistance; Alpha; Beta; Business and Economics;

    Abstract : This paper investigates sin stock characteristics through relative return performance compared to the global market index MSCI World, defining stock defensiveness towards market movements (i.e. recession resistance) and abnormal amounts of excess returns. READ MORE

  6. 25. Using Machine Learning to Predict Aggregate Excess Returns

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Erik Jonsson; Sebastian Gierlowski Carling; [2021]
    Keywords : Equity premium; Machine learning; Non-linear models; Penalized linear models; Prediction;

    Abstract : In this paper we examine whether standard linear regression and machine learning tools can be used to predict the time series of total returns in excess of the risk-free rate on the S&P500 and FTSE100 indices. We have virtually no success in predicting monthly returns. However, we do have some success in predicting annual returns. READ MORE