Essays about: "risk-return relationship"

Showing result 21 - 25 of 27 essays containing the words risk-return relationship.

1. 21. Investment Uncertainty, Liquidity Supply, and Pairs Trading Profitability

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Björn Beckman; Richard Riboe; [2013]
   Keywords : Pairs trading; Statistical arbitrage; Liquidity; Behavioral bias; Valuation uncertainty;

   Abstract : In this paper, we examine a pairs trading strategy that speculates on the price-level divergence and convergence of paired stocks with similar risk-return characteristics. We explore whether time-variation in pairs trading returns is related to fluctuations in liquidity supply and investment uncertainty. READ MORE

3. 22. The Relationship between Expected Returns and Financial Distress Risk. Implication for Corporate Valuation

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Jan Seitz; Vilma Raisyte; [2013]
   Keywords : Financial Distress; Implied Cost of Equity; CAPM; Altman Z-Score; Distance-to-Default;

   Abstract : Using portfolio and regression analysis, this study examines the expected returns of European companies for the period 2000-2011 with respect to financial distress risk in order to provide practical implications for corporate valuation. The relationship between realized returns and financial distress risk is found to be negative, in line with the financial distress risk anomaly acknowledged in the existing literature. READ MORE

4. 23. A study of the risk-return relationship in the Swedish housing market: evidence from an H-CAPM model

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Adrian Imreorow; Oscar Schagerström; [2011]
   Keywords : housing capital asset pricing model; H-CAPM; housing market; house price returns; risk-return relationship;

   Abstract : This paper investigates the risk-return relationship in the Swedish housing market by testing a housing capital asset pricing model (H-CAPM). The model is applied on one- and two-dwelling houses for permanent living in 238 municipalities between 1982 and 2009. READ MORE

5. 24. Risk, Price Level and Return in the Swedish Housing Market: A Panel and Cross-Sectional Analysis

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Vincent Aldevinge; Anders Zachrisson; [2010]
   Keywords : Risk; Return; Price level; Housing; Sweden;

   Abstract : This thesis carries out an asset-pricing analysis of the Swedish single family house market. Using both cross-sectional and panel data on municipality level we investigate the role of volatility and price level in explaining housing returns. READ MORE

6. 25. Momentum under different market climates: Evidence from the South African market

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Lars Gustafsson; Joakim Lundqvist; [2010]
   Keywords : Momentum; South Africa; Trading strategies; market climates;

   Abstract : In this study, we examine the existence and persistence of return momentum in the South African market between March 1995 and December 2009. We investigate three different momentum strategies, and examine their risk-return relationship under different market climates. READ MORE