Essays about: "equity risk premium"

Showing result 21 - 25 of 46 essays containing the words equity risk premium.

1. 21. Mutual fund performance in the Swedish premium system - Beyond the mean-variance framework

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Rasmus Håkansson; [2017]
   Keywords : PPM mutual fund performance higher moments Sharpe ratio; Business and Economics;

   Abstract : This paper presents an evaluation of the Swedish pension system, using performance measures that accounts for higher moments of the distribution. The aim of this study is to analyze the relationship between the classical Sharpe ratio and more sophisticated measures, while specifically focusing on the outcome of the default fund in the system. READ MORE

3. 22. INTERGRATION OF EUROPEAN EQUITY MARKETS

   University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

   Author : Manne Ringström; Victor Tennby; [2016-02-02]
   Keywords : Intergration; equity markets; euro; indices; AEX; BEL20; CAC40; DAX30; LuxX; STOXX EUROPE; MSCI; risk premium seasonality; financial crisis;

   Abstract : This thesis analyses the integration levels of European equity markets towards a regional market and the world market. In addition, we test for seasonality and unit root presence in the equity market indices. We use the returns of national equity indices of five euro-countries. READ MORE

4. 23. Emerging and Frontier Markets for Risk Averse Investors? : A study on equity risk premium and correlation in 96 markets.

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

   Author : Erik Kugelberg; [2016]
   Keywords : equity risk premium; correlation; diversification; portfolio theory; frontier markets; emerging markets; pension funds;

   Abstract : Introduction: The portfolio theory states that an investor has to take into consideration expected return and variance to construct an optimal portfolio along the efficient frontier. The equity risk premium suggests that an investment’s expected return is related to the amount of risk it consists of. READ MORE

5. 24. The Uncertainty of Risk - Volatility of Volatility in the Swedish Equity Market

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Ali Khanzadi; Fredrik Elliot; [2016]
   Keywords : Uncertainty; Volatility of Volatility; Aggregate risk factors; ICAPM; Business and Economics;

   Abstract : In addition to market volatility, a stylized theoretical model and recent empirical findings suggests the existence of a premium for market volatility of volatility. By developing seven different measures of volatility of volatility and through the method of principal component analysis, we investigate if this aggregate uncertainty is priced in the Swedish equity market. READ MORE

6. 25. To Have or Not to Have? The Impact of Financial Targets on the Cost of Capital

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Erika Madebrink; Linda Shi; [2016]
   Keywords : Equity cost of capital; Estimation risk; Financial targets; Liquidity risk; Voluntary information disclosure;

   Abstract : We study the effect of communicating long-term financial targets, but not the attainment of them, on the equity cost of capital. We examine the effect targets have on risk factors in an augmented Fama and French model, where illiquidity is added as a risk factor, and find that dividend, profitability and leverage targets decrease the cost of capital through the market risk premium and SMB risk factors. READ MORE