Essays about: "equity risk premium"
Showing result 1 - 5 of 46 essays containing the words equity risk premium.
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1. A valuation of Swedish hedge fund performance
University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistikAbstract : In this thesis we present annual returns of Swedish hedge funds sorted by investment strategies and investigate which strategy performs best and how the Fama-French factors: market premium, value premium and growth premium affect these returns. The Fama-French three-factor model is built on the Capital Asset Pricing Model which tries to describe the relationship between the expected return of an asset and the risk of the asset compared to the market. READ MORE
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2. Risk Influences of CEO-Dependent Top Managers: Co-Option and the Cost of Equity Capital
University essay from Handelshögskolan i Stockholm/Institutionen för redovisning och finansieringAbstract : This thesis aims to explore the research gap in existing literature on top management connectedness toward the CEO, from the perspective of equity stakeholders of the firm. It sheds light on how equity investors perceive firms with executives that are co-opted by the current CEO, in terms of firm risk. 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
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4. Performance of Small- and Large-cap stock portfolios- The importance of market anomalies across business cycles
University essay from Göteborgs universitet/Graduate SchoolAbstract : This Master´s thesis investigated the importance of the market anomalies size (market capitalization), value (Book-to-Market ratio) and momentum (lagged short-term momentum) for equity returns of small- and large-cap composite stock portfolios. The study focused on two contrasting stock markets (NASDAQ OMX and NYSE) across domestic business cycles over the time-period 2006 to 2021. READ MORE
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5. The effects of political uncertainty on options: An empirical study of S&P 500, Euro Stoxx 50, and S&P sectors around political events
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : We study options spanning political events and examine whether a price premium, associated with the political uncertainty from events, exists. First, we use recent data and replicate parts of Kelly, Pastor, and Veronesi (2016) by analysing how the price risk, variance risk, and tail risk associated with political events, affect equity options on the S&P 500 and Euro Stoxx 50 indices. READ MORE