Essays about: "risk-return trade-off"
Showing result 1 - 5 of 12 essays containing the words risk-return trade-off.
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1. The Momentum Premium: An Intermediary Asset Pricing Perspective
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : We attempt to explain the momentum premium using time-varying risk under the frictions of financial intermediation. Our conditional CAPM model reveals positive covariation between momentum's beta and the expected market risk premium. READ MORE
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2. The Swedish equity market: Anomalies and pricing contributions using portfolio sorting techniques
University essay from Göteborgs universitet/Graduate SchoolAbstract : The Capital Asset Pricing Model (CAPM) is a widely used tool to describe the risk-return relationship for stocks. Several studies focusing on asset pricing have during the last decades indicated that the one-factor model CAPM is associated with limitations to explain the cross-sectional and time variation in expected stock returns. READ MORE
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3. Financial Volatility and the Leverage Effect on the Swedish Stock Exchange
University essay from KTH/Industriell ekonomi och organisation (Inst.)Abstract : In today’s financial markets, volatility is a fundamental concept in regards of the risk assessment of assets and instruments. Financial volatility is commonly used to measure the quantitative aspects of risk and is given a significant amount of attention in past literature and research. READ MORE
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4. Testing the Adaptive Markets Hypothesis : An examination of the variability of the risk-return trade-off over time and in different market environments
University essay from Södertörns högskola/FöretagsekonomiAbstract : A new hypothesis, The Adaptive Markets Hypothesis (AMH), is applied to the Swedish stockmarket context by testing the variability of the risk-return trade-off over different investment horizons and market environments. Yearly returns and volatility are measured on OMXS30 index between1986 and 2017 over a variety of different investment horizons. READ MORE
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5. Financial Volatility and the Leverage Effect : A study of the Swedish Stock Exchange
University essay from KTH/Industriell ekonomi och organisation (Inst.)Abstract : In today’s financial markets, volatility is a fundamental concept in regards of the risk assessmentof assets and instruments. Financial volatility is commonly used to measure the quantitativeaspects of risk and is given a significant amount of attention in past literature and research. READ MORE