Essays about: "risk-return relationship"

Showing result 1 - 5 of 18 essays containing the words risk-return relationship.

  1. 1. Does real estate deliver diversification when needed the most? - A dynamic conditional correlation study of REITs in a mixed-asset portfolio

    University essay from Göteborgs universitet/Graduate School

    Author : Mathilda Keino; Malin Svensson; [2017-07-26]
    Keywords : REIT; Real Estate Investment Trusts; DCC-GARCH; dynamic conditional correlation; diversification; portfolio theory;

    Abstract : MSc in Finance.... READ MORE

  2. 2. Reverse Robin Hood. A Swedish Assessment of the Distress Puzzle

    University essay from Göteborgs universitet/Graduate School

    Author : Caroline Robertsson; Emil Jangvik; [2017-07-25]
    Keywords : Financial distress; Z-score; O-score; Portfolio analysis; Distress Puzzle; Asset pricing; Corporate Finance; Distress Risk; Logit analysis;

    Abstract : MSc in Finance.... READ MORE

  3. 3. Investing on the risk of company bankruptcy

    University essay from Handelshögskolan i Stockholm/Institutionen för redovisning och finansiering

    Author : Jan Wocalewski; Simon Bergman; [2017]
    Keywords : Skogsvik 1990 s pfail; Distress risk anomaly; CAPM; Portfolio analysis; Cross sectional regressions;

    Abstract : We investigate the risk-return relationship between bankruptcy risk, measured by Skogsvik (1990)'s probability of firm failure ("pfail"), and stock returns on a refined stock sample on Stockholmsbörsen between 2002 and 2017. Using portfolio analysis and cross sectional regressions inspired by Fama-MacBeth (1973), we find lacking evidence to support a distress risk premium. READ MORE

  4. 4. Investigating New Multifactor Models with a Conditional Dual-Beta : Can a Conditional Dual-Beta in the Market Factor add Explanatory Value in New Multifactor Models? A study of the Swedish Stock Market between 2003 and 2015

    University essay from Linköpings universitet/FöretagsekonomiLinköpings universitet/Filosofiska fakulteten; Linköpings universitet/FöretagsekonomiLinköpings universitet/Filosofiska fakulteten

    Author : Joakim Lind; Lars Sparre; [2016]
    Keywords : Asset-pricing model; Multifactor model; Conditional beta; Dual-Beta; Five-Factor Model; Q-Factor Model; Beta-sorted Portfolios; Swedish Stock Market;

    Abstract : This thesis investigates pricing-performance of two recently developed multifactor asset-pricing models with the implementation of dual-betas dependent upon prevailing market-conditions. The models included in the study are the Fama and French five-factor model and the Q-factor model by Hou, Xue and Zhang. READ MORE

  5. 5. The Risk-Return Relationship : Can the Prospect Theory be Applied to Small Firms, Large Firms and Industries Characterized by Different Asset Tangibility?

    University essay from Umeå universitet/Företagsekonomi; Umeå universitet/Företagsekonomi

    Author : Lukas Berglind; Erik Westergren; [2016]
    Keywords : Prospect theory; Expected utility theory; Tangible assets; Intangible assets; Decision making; Behavioral decision theory; Risk-return relationship; Risk-return paradox;

    Abstract : In 1979 Daniel Kahneman and Amos Tversky created the prospect theory. It became an accepted and appropriate theory in explaining decision making under risk. The prospect theory has been one of the most cited articles in economics and Kahneman received the Nobel Prize in Economic Sciences as a result of the creation and development of the theory. READ MORE