Search for essays about: "stock out risk"

Showing result 1 - 5 of 20 essays containing the words stock out risk.

  2. 1. Black-Scholes Option Pricing Formula - An empirical study

    University essay from Göteborgs universitet/Företagsekonomiska institutionen

    Author : Martin Gustafsson; Erik Mörck; [2010-02-12]
    Keywords : Black and Scholes; call option; put option; option pricing; volatility; price difference; pricing error; moneyness; at-the-money; in-the-money; out-of-the-money; deep-in-the-money; deep-out-of-the-money; dividend; risk free interest rate; time to expiry; standard deviation; correlation coefficient; Least-Squares Linear Regression Analysis.;

    Abstract : Purpose: The purpose of this study is to empirically test the accuracy of the Black and Scholes model by examining the difference between theoretical prices predicted by the model and actual market prices. We will also try to determine whether the accuracy of the model varies with the time left to expiration or the moneyness of an option. READ MORE

  4. 2. Cross-Section of Stock Returns: : Conditional vs. Unconditional and Single Factor vs. Multifactor Models

    University essay from Umeå universitet/Handelshögskolan vid Umeå universitet; Umeå universitet/Handelshögskolan vid Umeå universitet

    Author : Rustam Vosilov; Nicklas Bergström; [2010]
    Keywords : Cross-section of stock returns; asset-pricing model empirical tests; CAPM; Fama-French; conditional asset-pricing models; time-varying beta; time-varying risk; conditional beta; cross-sectional regression; time series regression; financial market anomalies; value premium; size premium; momentum effect;

    Abstract : The cross-sectional variation of stock returns used to be described by the Capital Asset Pricing Model until the early 90‟s. Anomalies, such as, book-to-market effect and small firm effect undermined CAPM‟s ability to explain stock returns and Fama & French (1992) have shown that simple firm attributes, like, firm size and book-to-market value can explain the returns far better than Beta. READ MORE

  5. 3. CEO remuneration in listed European insurance companies : Trends and justifications over the years 2005-2009

    University essay from Högskolan i Jönköping/IHH, Företagsekonomi; Högskolan i Jönköping/IHH, Företagsekonomi

    Author : Sara Palmén; Avare Suleyman; [2010]
    Keywords : CEO; chief executive officer; remuneration; fixed pay; variable pay; short-term; long-term; benefit; Europe; insurance; incentive; attraction; retention; agency theory; financial crisis; trend; justification;

    Abstract : In the ever so increasingly competitive business climate of the 21st century, human resources are vital for corporate success. Employees need proper incentives to perform in goal-oriented manners. READ MORE

  6. 4. Portfolio Optimization -The Mean-Variance and CVaR approach

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Sixten Fagerström; Gustav Oddshammar; [2010]
    Keywords : CVaR; Mean-Variance; Portfolio Optimization; Volatility risk; Sharpe-ratio; Business and Economics;

    Abstract : The recent economic turmoil has increased volatility on the Swedish stock market and made investors more exposed to risk in an uncertain environment. This research will investigate if the quantitative portfolio optimization models Mean-Variance and CVaR can produce risk-adjusted returns for investors acting in the Swedish stock market. READ MORE

  7. 5. Decomposing the Book-to-Price Effect: Leverage and Stock Returns:

    University essay from Handelshögskolan i Stockholm/Institutionen för redovisning

    Author : Thomas Kidane; David Kuritzén; Johan Rönnestig; [2009]
    Keywords : book-to-price; enterprise book-to-price; leverage; stock returns; Penman et al;

    Abstract : The starting point for this thesis is a decomposition of book-to-price (B/P) into an enterprise-book-to-price component (that pertains to the firms operations and supposedly reflects operating risk) and a leverage component (assumed to capture financial risk), laid out by Penman et al (2007). Using Swedish data, we show that the leverage component of B/P is negatively associated with future stock returns, conditional upon enterprise-book-to-price. READ MORE