Essays about: "variance ratio test"

Showing result 21 - 25 of 28 essays containing the words variance ratio test.

  1. 21. Momentum Investment Strategies with Portfolio Optimization : A Study on Nasdaq OMX Stockholm Large Cap

    University essay from Akademin för utbildning, kultur och kommunikation

    Author : Robin Jonsson; Jessica Radeschnig; [2014]
    Keywords : Finance; Momentum Investments; Portfolio Theory; Portfolio Optimization; Naive Diversification; Asset Allocation; Mean-Variance Efficiency; Sharpe-Ratio Hypothesis Test;

    Abstract : This report covers a study testing the possibility of adding portfolio optimization by mean-variance analysis as a tool to extend the concept of momentum strategies in contrast to naive allocation formed by Jegadeesh & Titman (1993). Further these active investment strategies are compared with a passive benchmark as well as a randomly selected portfolio over the entire study-period. READ MORE

  3. 22. Insider Trading - An Efficiency Contributor?

    University essay from Företagsekonomi

    Author : Gustav Söderberg; Rikard Nyström; [2013]
    Keywords : Insider trading; Efficient market hypothesis; Adaptive market hypothesis; Variance ratio test;

    Abstract : This research has studied the relationship between insider trading activity and its effect on the level of informational efficiency. The authors have used insider data from Finansinspektionen and data regarding stock prices, market capitalization and GDP from Thomson Reuters Datastream. READ MORE

  4. 23. The influence of habitat structural complexity on invertebrate diversity: A comparison between an impacted and a pristine coral reef

    University essay from Lunds universitet/Examensarbeten i biologi

    Author : Michelle de Beer; [2013]
    Keywords : Biology and Life Sciences;

    Abstract : Abstract Habitat complexity is shown to be an important driver of invertebrate diversity on impacted coral reefs when the diversity supported by a comparative unit of habitat complexity is compared to that of a pristine coral reef. The more structurally complex pristine reef does not support the conventionally expected greatest amount of diversity, instead an upper limit threshold to habitat complexity is observed. READ MORE

  5. 24. The Efficient Market Hypothesis at Nord Pool: A study of the forwards market

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Melissa Proietti; [2012]
    Keywords : Electricity derivatives; Nord Pool; random walk; variance ratio test; runs test; BDS test; hydro power.; Business and Economics;

    Abstract : In recent times the increasing economic importance of electricity raised new interest in the study of its market. In particular the existence of an efficient derivative market where players can mitigate their risk exposure has been considered fundamental. READ MORE

  6. 25. The Efficient Market Hypothesis at Nord Pool:A study of the forwards market

    University essay from Lunds universitet/Ekonomisk-historiska institutionen

    Author : Melissa Proietti; [2012]
    Keywords : Electricity derivatives; Nord Pool; random walk; variance ratio test; runs test; BDS test; hydro power; Business and Economics;

    Abstract : In recent times the increasing economic importance of electricity raised new interest in the study of its market. In particular the existence of an efficient derivative market where players can mitigate their risk exposure has been considered fundamental. READ MORE