Essays about: "Volatility-management"
Found 3 essays containing the word Volatility-management.
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1. Comply or Die: A Study of ESG Factor Returns and Volatility in the Nordic Countries from 2016 to 2022
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : Using corporate environmental, social and governance (ESG) reporting data from 611 publicly traded firms in the Swedish House of Finance's Nordic Compass database, we estimate stock return and volatility exposures to an ESG factor during the period 2016-2022 in the Nordics. Using a Fama-Macbeth methodology, we find that during this time in the Nordic Countries exposure to an ESG factor is compensated with a risk premium and a volatility reduction in a Fama French 4 Factor model. READ MORE
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2. Volatility-managed portfolios in the international markets
University essay from Stockholms universitet/FinansieringAbstract : Volatility-managed portfolios offer mixed returns in an international setting based on ex-ante information. The results of this paper further strengthen the theory that the variability of excess returns from volatility-management are more dependent on underlying investor strategy rather than differences of global markets. READ MORE
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3. Residual Momentum and Volatility – Managed Portfolios : A Study on the Swedish Equity Market
University essay from KTH/Fastighetsföretagande och finansiella systemAbstract : In this paper, we present empirical results from the Swedish equity market when testingdifferent strategies aiming at enhancing the performance of a momentum strategy, over a timeperiod from 2000 to 2021. Similar to research conducted on other markets, we find theexistence of a momentum premium on the Swedish equity market, but with a return that is fattailed and negatively skewed. READ MORE