Essays about: "Excess return"

Showing result 6 - 10 of 174 essays containing the words Excess return.

  1. 6. Mapping and analysis of an internal heating network at Holmen Paper Braviken

    University essay from Linköpings universitet/Energisystem

    Author : Ludwig Forsell; Ebba Samuelsson; [2023]
    Keywords : Energy mapping; Holmen paper Braviken; Internal heating network; Holmen; Energy usage in the paper industry; Energy usage for a TMP-plant;

    Abstract : The pulp and paper industry is the most energy intensive industry in Sweden. Most of the energy usedaims to supply the large amount of heat to the production processes that is required to produce pulp andpaper . READ MORE

  3. 7. The power of purpose: How ESG subcategories drive financial performance : A comprehensive analysis using the Fama-French Five-Factor model

    University essay from Linnéuniversitetet/Institutionen för management (MAN)

    Author : Oscar Johnsson; Elias Henriksson; [2023]
    Keywords : ESG score; ESG-subcategories; Fama-French five-factor model; corporate social responsibility; Sharpe ratio;

    Abstract : ESG investing is a hot subject in today’s world with socially responsible investments under management reaching 35.3 trillion in the beginning of 2020. Corporations today are highly affected by social and government pressure to take on corporate social responsibility. READ MORE

  4. 8. The Power of the Tides : A Quantitative Study Investigating the Momentum Strategy with 30 Industries

    University essay from Jönköping University/IHH, Företagsekonomi

    Author : Oscar Estéen; Jonathan Landahl; Hugo Karlsson; [2023]
    Keywords : Momentum strategy; industry momentum; risk management; market anomalies; momentum investing; portfolio management;

    Abstract : Background: Buying past winners and selling past losers has historically generated both profits and losses. The momentum strategy has been researched with risk measures and portfolio creation as fundamental components. READ MORE

  5. 9. Changing Patterns over the FOMC Cycle

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Edvin Holst; Theodor Von Der Esch; [2023]
    Keywords : FOMC; Federal Reserve Board of Governors; Pre-FOMC announcement drift; Macro-announcements;

    Abstract : We document that in the period 2017 to 2022, the US stock market did not feature the same pattern of higher excess stock returns in even weeks following Federal Open Market Committee (FOMC) announcements as in the period 1994 to 2016. We show that timing of Board of Governors meetings and direction of Fed funds target rate movements affect US market returns in both periods, and connect changes in these factors to the distortion of the even-week return pattern. READ MORE

  6. 10. 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)

    Author : Telo Johar; [2023]
    Keywords : Fama-French five-factor model; excess return; Swedish stock market; Fama-French five-factor model; överavkastning; svenska aktiemarknaden;

    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