Essays about: "risk-premium"

Showing result 1 - 5 of 105 essays containing the word risk-premium.

  1. 1. Do you want to swap? A study of the liquidity risk in the SEK interest rate swap market

    University essay from Göteborgs universitet/Graduate School

    Author : Viktor Edberg; Carl Hjelmqvist; [2023-06-29]
    Keywords : Bao; Pan; Wang indicator; Determinants; Dimensions of liquidity; Forward Rate Agreement; Fundamental Review of the Trading Book; Generalized least squares; Interest Rate Derivative; Interest Rate Swap; Liquidity horizon; Liquidity risk premium; Market liquidity; SVEN spread; Swap Spread; Swedish Government benchmark bond; Treasury-Eurodollar; Turnover ratio; Turnover-per-day; Volume-adjusted intraday volatility;

    Abstract : Interest rate swaps are one of the world’s most essential interest rate derivatives. It is therefore important to understand the pricing of these agreements, and how the market is functioning. READ MORE

  3. 2. The deductibles impact on the risk premium

    University essay from Umeå universitet/Institutionen för matematik och matematisk statistik

    Author : Ludvig Bergman; [2023]
    Keywords : deductible; insurance mathematics; non-life insurance pricing; Försäkringsmatematik; självrisk; självrisker;

    Abstract : The aim of this master thesis is to derive methods that assesses the impact the deductiblehas on the risk premium of an insurance contract. The additive structure of a deductiblenecessitates approaches beyond treating it as a regular covariate in a generalized linearmodel for predicting the risk premium. READ MORE

  4. 3. Impact of Inflation on Return and Pricing of Swedish Bank Stocks : A Fama-French Analysis on Monthly Stock Returns and Pricing of Handelsbanken, Swedbank, SEB and Nordea

    University essay from Uppsala universitet/Nationalekonomiska institutionen

    Author : Carl Westerberg; Elvin Rolder; [2023]
    Keywords : Asset Pricing Theory; CAPM; Carhart; Fama-French; Fama-Macbeth; Inflation; NII;

    Abstract : This study explores the influence of inflation on the monthly total stock returns and stock pricing of Swedish banks. The research question is systematically examined througha cross sectional and time series analysis, utilizing Fama-French, Carhart, and Fama-Macbeth metodologies. READ MORE

  5. 4. Comply or Die: A Study of ESG Factor Returns and Volatility in the Nordic Countries from 2016 to 2022

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Jean-Philippe Chakbazof; Amitesh Raghav; [2023]
    Keywords : ESG Factor; Nordic Compass; Fama Macbeth; Volatility Management; ESG Portfolio;

    Abstract : Using corporate environmental, social and governance (ESG) reporting data from 611 publicly traded firms in the Swedish House of Finance's Nordic Compass database, we estimate stock return and volatility exposures to an ESG factor during the period 2016-2022 in the Nordics. Using a Fama-Macbeth methodology, we find that during this time in the Nordic Countries exposure to an ESG factor is compensated with a risk premium and a volatility reduction in a Fama French 4 Factor model. READ MORE

  6. 5. The Impact of Carbon Emissions on Stock Returns

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Carl Guditz; Simon Gustafsson; [2023]
    Keywords : Stock returns; Carbon emissions; Carbon premium; Carbon intensity; Europe;

    Abstract : We investigate the carbon emissions' effect on stock returns in European firms. The results show that firms with higher carbon intensity, a relative measure of carbon emission, yield a higher stock return while controlling for return-predicting factors. READ MORE