Essays about: "ex ante volatility"

Showing result 1 - 5 of 8 essays containing the words ex ante volatility.

  1. 1. CROSS-SECTIONAL AND TIME SERIES MOMENTUM RETURNS EVIDENCE FROM THE SWEDISH STOCK MARKET

    University essay from KTH/Matematisk statistik

    Author : Mahsa Badakhsh; [2023]
    Keywords : cross-sectional momentum; time-series momentum; market efficiency; random walk; ex-ante volatility; cross-sectional momentum; time-series momentum; marknadseffektivitet; random walk; ex-ante volatilitet;

    Abstract : The study investigates the presence of the momentum effect in the Swedish stock market by utilizing both cross-sectional introduced by Jegadeesh and Titman (1993) and time-series momentum introduced by Moskowtozt et al. (2011). The period of analysis is between 1998 to 2022. READ MORE

  3. 2. Global Supply Chain Optimisation by Using Sensing Solutions

    University essay from Lunds universitet/Produktionsekonomi

    Author : Ahmad Belbisi; Amjad Belbisi; [2023]
    Keywords : Supply Chain Disruptions; Supply Chain Resilience; Supply Chain Visibility; Supply Chain Transparency; Real-Time Visibility; Internet of Things; Industry 4.0; Technology and Engineering;

    Abstract : Problemformulering: Internationalisering, högre volatilitet på efterfrågan och snabbare försörjningskedjor är faktorer som gör den globala kedjan mer komplex. Därför strävar organisationer efter en bättre bild av deras försörjningskedja realtidsprestanda. READ MORE

  4. 3. Volatility-managed portfolios in the international markets

    University essay from Stockholms universitet/Finansiering

    Author : Soroush Hasanpour; Emil Adamsson; [2022]
    Keywords : Financial Markets; Asset-pricing; asset pricing; Equity; Equity Markets; Volatility; Volatility-management; international markets; Volatility pricing; Pricing anomalies;

    Abstract : 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

  5. 4. The Implied Volatility Skew of Single Stock Options and the Predictability of Jumps - Robustness Analysis

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Davide Brugola; [2019]
    Keywords : single stocks; options; implied volatility skew; jumps; earnings announcements;

    Abstract : In this thesis, we try to understand whether the observed implied volatility skew of single stock options is significantly related to the probability of observing future return jumps in the underlying single stock. In particular, our main aim is to verify whether the skew-jump relationship persists during normal periods without any pre-scheduled information disclosure event or it is confined to earnings announcement periods. READ MORE

  6. 5. A Study of Momentum Effects on the Swedish Stock Market using Time Series Regression

    University essay from KTH/Matematisk statistik

    Author : Carolina Ljung; Maria Svedberg; [2018]
    Keywords : momentum; time series regression; ex ante volatility; stationary process;

    Abstract : This study investigates if momentum effects can be found on the Swedish stock market by testing a cross-sectional momentum strategy on historical data. To explain the results mathematically, a second approach, involving time series regression for predicting future returns is introduced and thereby extends the cross-sectional theory. READ MORE