Essays about: "idiosyncratic risk"

Showing result 16 - 20 of 55 essays containing the words idiosyncratic risk.

  1. 16. The Effects of Equal Weighting and Rebalancing on Portfolio Performance

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Magdalena Stefanovska; [2020]
    Keywords : Equal weighting; rebalancing; Swedish stock market; equity portfolio; contrarian; idiosyncratic risk; four-factor model; Business and Economics;

    Abstract : This study compares the performance of equal- and value-weighted portfolios using a broad investment universe consisting of the stocks from the Swedish stock market. While implementing random sampling in the portfolio construction procedure, three rebalancing schemes are applied on the equally weighted portfolio in order to observe differences in performance among these. READ MORE

  3. 17. Mergers and Acquisitions and Default Risk: Evidence from Western European Financial Sector

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Teemu Mäkiaho; Henri Rikhard Kiviniemi; [2019]
    Keywords : M A; Default Risk; Merton Model; Probability of Default; Distance-to-Default; Financial Sector; Business and Economics;

    Abstract : The purpose of this paper is to examine the impact of mergers and acquisitions on the default risk of acquiring companies. The sample consists of 276 transactions carried out between 2010 and 2018 by acquirers from Western European financial sector. READ MORE

  4. 18. Return Predictability: Can correlation effectively predict returns?

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Tor Fryer Petersson; Stina Karlsson; [2018]
    Keywords : CAPM; Average correlation; Risk-reward trade-off; Return predictability; Roll Critique;

    Abstract : Previous research shows that index variance can be decomposed into average constituent correlation and average constituent variance. These studies hold that the average correlation captures features of the aggregate market risk and under a risk-reward relationship is a predictor of future excess returns. READ MORE

  5. 19. The Effect of ESG Performance on Share Price Volatility

    University essay from Umeå universitet/Företagsekonomi

    Author : Robin Jari Mattias Jakobsson; Leo Lundberg; [2018]
    Keywords : ESG; CSR; corporate social responsibility; total risk; financial risk; idiosyncratic risk; volatility.;

    Abstract : Environmental, Social, and Governance (ESG) investing is growing rapidly. Previous research in the area, has mostly been centered around ESG/CSR and its link to corporate financial performance, cost of capital and idiosyncratic risk. READ MORE

  6. 20. Consolidating Multi-Factor Models of Systematic Risk with Regulatory Capital

    University essay from KTH/Matematisk statistik

    Author : Henrik Ribom; [2018]
    Keywords : Economic Capital; Regulatory Capital; Basel Pillar II; Systematic Risk; Ekonomisk kapital; Regulatoriskt kapital; Basel pelare II; Systematisk risk;

    Abstract : To maintain solvency intimes of severe economic downturns banks and financialinstitutions keep capital cushions that reflect the risks in the balance sheet.Broadly,how much capital that is being held is a combination of external requirementsfromregulators and internal assessments of credit risk. READ MORE