Essays about: "Risk-Adjustment Return"

Showing result 1 - 5 of 8 essays containing the words Risk-Adjustment Return.

  1. 1. Skill, Scale and Investor Return in Established and Emerging Markets - An empirical study of equity mutual fund performance between markets with contrasting characteristics

    University essay from

    Author : Olle Fröling; Olle Wingstrand; [2022-06-29]
    Keywords : Equity Mutual Funds; Decreasing Returns to Scale; Alpha; Fund Skill; Fama-French Five-Factor Model; Nordic Equity Funds; Asian Equity Funds; Fixed Effects;

    Abstract : In this report we empirically analyze the effects of returns to scale for equity mutual funds in the Nordic and Asian regions. We also investigate whether or not funds generate alpha (i.e., have skill). READ MORE

  3. 2. To Spin Off or Not To Spin Off?

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

    Author : Henrik Nyberg; Johan Fohlin; [2022]
    Keywords : Spin-offs; Corporate Focus; Abnormal Returns; Operating Performance; Sharpe Ratio;

    Abstract : This study investigates the value creation of U.S. spin-offs undertaken between 2010 and 2017 from three perspectives. Firstly, shareholder wealth creation is analyzed through tests on unadjusted abnormal announcement-day returns and unadjusted abnormal long-term returns. READ MORE

  4. 3. Returns to Buying Winners and Selling Losers

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Tobias Thejll; [2018]
    Keywords : Return Continuation; Price Momentum; Stockholm Stock Exchange; CAPM; Fama and French Three-Factor Model; Business and Economics;

    Abstract : The argument put forward in this paper is that stocks listed on the Stockholm Stock Exchange, from 1993 to 2016, exhibits return continuation over an intermediate-horizon. The best performing strategy, which selects stocks based on the previous six months’ returns and holds the portfolio for three subsequent months, yields an average monthly return of 2. READ MORE

  5. 4. SWEDISH MUTUAL EQUITY FUND PERFORMANCE - A COMPARATIVE STUDY OF SWEDISH FUNDS INVESTING IN SWEDEN & THE U.S.

    University essay from

    Author : Filip Jilsén; Mattias Juhlin; [2017-07-03]
    Keywords : Performance Evaluation; Mutual Equity funds; Actively Managed Funds; Risk-Adjustment Return; Sharpe Ratio; Treynor Ratio; Carhart Four-Factor Model; Swedish Fund Performance; U.S. Fund Performance;

    Abstract : The purpose of this thesis is to investigate the performance of Swedish mutual equity funds that primarily invest in either the Swedish or the U.S. market. Complementing prior research, we emphasis the relative performance differences between two markets and compare different portfolios with domestic indices. READ MORE

  6. 5. Performance Evaluation of European Green Mutual Funds - Is There an Economic Trade-Off?

    University essay from

    Author : Emil Andreasson; Mats Kronborg; [2017-06-27]
    Keywords : Green Funds; Conventional Funds; Performance Evaluation; European Focus; Risk-Adjustment Returns; Sharpe Ratio;

    Abstract : In this thesis, we investigate the financial performance of European green and conventional mutual equity funds over the 2007 – 2017 period. We applied the Carhart (1997) four-factor model over three different periods, and find evidence that the risk-adjusted alphas are not statistically different. READ MORE