Essays about: "sample thesis on financial ratio"

Showing result 1 - 5 of 25 essays containing the words sample thesis on financial ratio.

  1. 1. Evaluating the Effect of Meta-Labeling on Equity Market Neutral Strategy

    University essay from Lunds universitet/Statistiska institutionen

    Author : Niclas Wölner-Hanssen; [2023]
    Keywords : Meta-Labeling; Probabilistic Sharpe Ratio; Equity Market Neutral; Mathematics and Statistics;

    Abstract : This thesis aims to construct an Equity Market Neutral (EMN) strategy framework to predict intraday excess returns of stocks within the S&P 500 index by utilizing machine learning techniques proposed by (López de Prado, 2018). The constructed EMN strategies within the framework utilizes techniques such as Stacked Single Feature Importance (SSFI), sample weighting, Probabilistic Sharpe Ratio (PSR), and meta-labeling. READ MORE

  3. 2. Relative or Discounted Cash Flow Valuation on the Fifty Largest US-Based Corporations on Nasdaq : Which of these valuation methods provides the most accurate valuation forecast?

    University essay from Linnéuniversitetet/Institutionen för management (MAN)

    Author : Marcus Öhrner; Otto Öhman; [2023]
    Keywords : Discounted Cash Flow; Dividend Discount Model; Earnings Before Interest and Taxes; Earnings Before Interest; Taxes; Depreciation and Amortization; Enterprise Value-to-Earnings Before Interest; Depreciation; and Amortization ratio; Free Cash Flow to Firm; Free Cash Flow to Equity; Mean Absolute Error; Price-to-Earnings Ratio; PricewaterhouseCoopers; Riskless Rate; Root Mean Square Error; Return on Capital; United States; Weighted Average Cost of Capital;

    Abstract : The topic of this Bachelor Thesis is “Which of these valuation methods provides the most accurate valuation forecast”. Assuming that the year is 2020, the goal of this thesis is to forecast the future stock prices of the fifty largest US-based companies on the Nasdaq stock exchange for 2021 and 2022. READ MORE

  4. 3. Banks' Adjustments to Basel III Capital Requirements : Empirical research on a sample of 359 banks between 2015 and 2021

    University essay from Jönköping University/IHH, Företagsekonomi

    Author : Andrea Hajnalka Csengoi; Nadia Ayadi; [2023]
    Keywords : Basel III; regulation; capital adequacy ratio; Global Financial Crisis;

    Abstract : Background: Fifteen years after the Global Financial Crisis, and four years after the enactment of the Basel III Accord, our thesis aims to answer how banks adapted to the new capital requirements. The core objective of the Basel Committee of Banking Supervision was to improve regulation and supervision and address the previous legislation deficiencies. READ MORE

  5. 4. Performance of Small- and Large-cap stock portfolios- The importance of market anomalies across business cycles

    University essay from Göteborgs universitet/Graduate School

    Author : Erik Hulth; [2021-06-30]
    Keywords : Stock performance; Market anomalies; Asset pricing; Portfolio sorting techniques; Factor-portfolio sorting techniques; Value effect; Size effect; Momentum effect; Temporal influences; Business cycles; GDP-gap; Single-and Multi- Factor models; CAPM; Fama-French Three-Factor model; Carhart Four-Factor model; Risk-adjusted equity returns; Sharpe Ratio; Jensen´s alpha; NASDAQ OMX and NYSE;

    Abstract : This Master´s thesis investigated the importance of the market anomalies size (market capitalization), value (Book-to-Market ratio) and momentum (lagged short-term momentum) for equity returns of small- and large-cap composite stock portfolios. The study focused on two contrasting stock markets (NASDAQ OMX and NYSE) across domestic business cycles over the time-period 2006 to 2021. READ MORE

  6. 5. Hierarchical Clustering in Risk-Based Portfolio Construction

    University essay from KTH/Matematisk statistik

    Author : Natasha Nanakorn; Elin Palmgren; [2021]
    Keywords : Portfolio construction; asset allocation; risk-based asset allocation; hierarchical clustering; agglomerative clustering; hierarchical risk parity; risk; volatility; Portföljallokering; portföljhantering; portföljmetoder; riskbaserad portföljallokering; hierarkisk klustring; agglomerativ klustring; risk; volatilitet;

    Abstract : Following the global financial crisis, both risk-based and heuristic portfolio construction methods have received much attention from both academics and practitioners since these methods do not rely on the estimation of expected returns and as such are assumed to be more stable than Markowitz's traditional mean-variance portfolio. In 2016, Lopéz de Prado presented the Hierarchical Risk Parity (HRP), a new approach to portfolio construction which combines hierarchical clustering of assets with a heuristic risk-based allocation strategy in order to increase stability and improve out-of-sample performance. READ MORE