Essays about: "Fredrik Stenkil"
Found 2 essays containing the words Fredrik Stenkil.
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1. One Instance Not a Trend: Empirical Lack of Persistence in Earnings Prediction. Revisiting the EMH in Sweden with an active fund selection framework
University essay from Göteborgs universitet/Graduate SchoolAbstract : This thesis examines the performance of active fund management in Sweden 2006-2015 by applying a framework to identify mutual fund managers whose index deviations historically have proved successful around earnings announcements. The Active Fundamental Performance (AFP) measure, proposed by Jiang & Zheng (2015), is defined as covariance between deviations from market weights and three-day alpha around earnings. READ MORE
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2. Superior Fund Performance by Exclusion. Does an Exclusion and Norms-Based Strategy Enhance Performance for Socially Responsible Retail Investors?
University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistikAbstract : The study examines whether there is a significant relationship between risk-adjusted returns and the intensity of exclusion and norms-based screening. The approaches to socially responsible investing adopted by mutual funds in the Swedish premium pension system are quantified and the monthly performances over the three year period March 2011 – March 2014 are estimated with Jensen’s alpha, Carhart’s four-factor alpha and the Sharpe ratio. READ MORE