Essays about: "econometrics stock market"

Showing result 1 - 5 of 44 essays containing the words econometrics stock market.

1. 1. Classifying High-Growth Manufacturing Firms on the Swedish Stock Market:A Comparative Study Between the Logistic Regression, Support Vector Machine and Artificial Neural Network

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : William Fridström; [2023]
   Keywords : Machine Learning; Econometrics; Firm Growth; Binary Classification; Prediction; Model comparision.; Business and Economics;

   Abstract : This is a comparative study between two modern machine learning algorithms, the Support Vector Machine and Artificial neural network, and one traditional econometric model, the Logistic regression. The main objective is to compare their performance by classifying high-growth companies. READ MORE

3. 2. Modeling stock market liquidity using macroeconomic variables: Evidence from Sweden

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Robin Mannoun; David Sjöblom; [2021]
   Keywords : Stock Market Liquidity; Macroeconomy; Nasdaq Stockholm; Empirical Finance; Econometrics; Business and Economics; Mathematics and Statistics;

   Abstract : This paper contributes both to investigating the relationship between the macroeconomic environment and stock market liquidity and to reviewing existing empirical evidence related to this relationship. We develop and examine panel data regression models for stock market liquidity based on macroeconomic factors. READ MORE

4. 3. The value of personality - Using algorithms and econometrics to analyze CEO conscientiousness and its impact on M&A performance

   University essay from Göteborgs universitet/Graduate School

   Author : Axel Gillmert; Henrik Persson; [2019-08-12]
   Keywords : M A performance; CEO acquisitiveness; Big Five personality traits; Conscientiousness;

   Abstract : Even after years of extensive and rigorous research, there is still a puzzling question relating to why managers keep engaging in M&A activities in spite of their tendency to destroy value for the shareholders of the acquiring firm. By seeking explanations in personality psychology, we examine the relationship between CEO conscientiousness, short-term stock market reactions and CEO acquisitiveness. READ MORE

5. 4. A Study on the Low Volatility Anomaly in the Swedish Stock Exchange Market : Modern Portfolio Theory

   University essay from Linköpings universitet/Nationalekonomi; Linköpings universitet/Fysik och elektroteknik

   Author : George Abo Al Ahad; Denis Gerzic; [2017]
   Keywords : Fama and Macbeth; Fama and French; Low Volatility Anomaly; Stock; Market; Portfolio Theory; CAPM; Econometrics; Expected return forecasting;

   Abstract : This study investigates, with a critical approach, if portfolios consisting of high beta stocks yields more than portfolios consisting of low beta stocks in the Swedish stock exchange market. The chosen period is 1999-2016, covering both the DotCom Bubble and the financial crisis of 2008. READ MORE

6. 5. Forecasting value at risk in the Swedish stock market - an investigation of GARCH volatility models

   University essay from Uppsala universitet/Nationalekonomiska institutionen

   Author : Joel Nilsson; [2015]
   Keywords : ;

   Abstract : The purpose of this thesis was to investigate various conditional volatility models commonly used in forecasting financial risk within the field of Financial Econometrics. The GARCH, the GJR-GARCH and the T-GARCH models were examined. READ MORE