Essays about: "Risk-Adjusted Performance Measures"

Showing result 1 - 5 of 29 essays containing the words Risk-Adjusted Performance Measures.

  1. 1. Comparison of High ESG Portfolio Performance in Germany and Switzerland

    University essay from Göteborgs universitet/Graduate School

    Author : Nino Shakulashvili; Saud Talic; [2023-06-29]
    Keywords : ESG; Portfolio Performance; Fama French; Carhart; Risk Factors; Value; Size; Momentum; Germany; Switzerland;

    Abstract : This study focuses on the relationship between stock return performance and sustainability, the latter taking the form of the Environmental, Social, and Governance (ESG) framework. The paper provides a comparative setting in which stocks of companies headquartered in Germany and Switzerland are examined. READ MORE

  3. 2. Unveiling the Impact of ESG Ratings on Risk-Adjusted Returns : Evidence from European Companies

    University essay from Uppsala universitet/Företagsekonomiska institutionen

    Author : David Melin; Otta Alexander; [2023]
    Keywords : ESG; Sustainability; Risk-adjusted return; Risk factor; Factor model; Portfolio; Europe;

    Abstract : This study uses a sample of 600 companies from Europe to investigate the risk-adjusted returns of four portfolios with high and low ESG ratings between 2011 and 2021. Four asset pricing models and additional measures for risk and return are tested on different portfolio weights. READ MORE

  4. 3. Exploring Momentum: The Hidden Drivers of Stock Returns in the Nordic Market

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Axel Dillner; Johanna Roos; [2023]
    Keywords : Momentum; Price Momentum; Earnings Momentum; Earnings Surprises; Standardized Earnings Surprise; SES;

    Abstract : This thesis investigates the relationship between price momentum, earnings momentum, and stock returns in the Nordic region by examining the risk-adjusted performance measures of various momentum strategy portfolios. Inspired by Novy-Marx's 2015 theory that momentum in firm fundamentals explains the performance of price momentum strategies, this study seeks to provide deeper insights into momentum drivers and their implications for investment professionals. READ MORE

  5. 4. Value creation in sponsored and non-sponsored spin-offs

    University essay from Handelshögskolan i Stockholm/Institutionen för redovisning och finansiering

    Author : André Sjögren; [2022]
    Keywords : Spin-offs; Ownership; Sponsors; Excess Returns; CAPM;

    Abstract : I examine whether spin-offs create value and if there is a difference between sponsored and non-sponsored firms by examining announcement-day share price performance, long-term share price performance, and long-term change in operational performance. The measures used were calculated on an unadjusted basis, in line with prior research, and on a risk-adjusted basis, using the Capital Asset Pricing Model. READ MORE

  6. 5. The relationship between sustainability and financial performance : An empirical study of Swedish equity funds

    University essay from Umeå universitet/Företagsekonomi

    Author : Erik Karlsson; Johan Grundberg; [2022]
    Keywords : sustainability; financial performance; msr;

    Abstract : The general relationship between sustainability and financial performance has been well examined, and there doesn't seem to be any general significant tradeoff between the two. However, the results are mixed and the many ways of defining both sustainability and financial performance has provided room for different interpretations and methodologies. READ MORE