Essays about: "Sharpe-Ratio Hypothesis Test"

Showing result 1 - 5 of 7 essays containing the words Sharpe-Ratio Hypothesis Test.

  1. 1. The value of a good deed; ESG-scores and returns in the Nordic stock markets

    University essay from

    Author : Axel Olausson; Axel Pettersson; [2023-11-07]
    Keywords : Stock returns; ESG; Risk-adjusted returns; Adjusted Sharpe ratio; unequal variance t-test; Nordic market;

    Abstract : This paper seeks to answer which effect ESG-scores have on risk-adjusted returns for stocks listed on Nordic stock markets. To answer this, we create five null hypotheses and use unequal variance t-tests to determine if the hypotheses can be rejected. READ MORE

  3. 2. MSCI Climate Paris Aligned Indices : A quantitative study comparing the performance of SR indices and their conventional benchmark indices

    University essay from Umeå universitet/Företagsekonomi

    Author : Linnéa Casselryd; Agnes Lantto; Alicia Julienne Zanic; [2021]
    Keywords : MSCI Climate Paris Aligned Indices; Socially Responsible Investments; Sustainable Indices; Performance; Beta; Sharpe Ratio; Jensen´s Alpha; Spanning Test; Ordinary Least Squares;

    Abstract : There is no clear consensus about whether green investments perform better, worse orequal to conventional brown investments. With the rising popularity of socialinvestments, it becomes increasingly important to understand these investments. READ MORE

  4. 3. The ROIC Over WACC Measurement

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

    Author : Adam Sten; Ragnar Turesson; [2021]
    Keywords : ROIC; WACC; Portfolios; Efficient Market Hypothesis; stock returns;

    Abstract : McKinsey and Koller et al. (2020) argue that value creation in a company stems from earning a Return on Invested Capital (ROIC) above the Weighted Average Cost of Capital (WACC). This study investigates whether a high ROIC minus WACC measurement is associated with abnormal returns on the OMX Stockholm Large Cap. READ MORE

  5. 4. Growth and Momentum - Rich and Richer : -A study on momentum and growth on the automotive Frankfurt stock market

    University essay from Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO)

    Author : Charlie Vindehall; David Eriksson; [2020]
    Keywords : Active investing; Growth; Momentum; Efficient Market hypothesis; German automotive sector; CAPM; Alpha; Sharpe ratio;

    Abstract : Active management funds are associated with higher transaction costs, which is something that has been acknowledged for a long time. The question is whether these costs can compensate with a higher return. This paper investigates how two active strategies, momentum and growth investing, have performed in relation to a passive index. READ MORE

  6. 5. The efficiency of financial markets : A dual momentum trading strategy on the Swedish stock market

    University essay from Umeå universitet/Nationalekonomi

    Author : André Netzén Örn; [2018]
    Keywords : ;

    Abstract : An interesting topic in the financial world is whether the markets are efficient or if the deviate from a random walk. There have been numerous studies on this topic, investigating if technical trading strategies can be used to create excess returns in the stock market. READ MORE