Essays about: "3-month return"
Found 5 essays containing the words 3-month return.
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1. Do founder CEOs impact IPO performance: an empirical study on founder CEOs' effect on IPO performance in Sweden
University essay from Handelshögskolan i Stockholm/Institutionen för redovisning och finansieringAbstract : This paper studies founder CEOs' impact on IPO performance, employing upper echelons, principal-agent, organisational life cycle, and signalling theories to address the potential differences between founder CEO-led firms and non-founder CEO-led firms. IPO performance is measured using initial return and 3-month return. READ MORE
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2. Pricing power and time-variation of global factor proxies
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : The marginal pricing power and individual impact of proxies used in international asset pricing and financial integration studies is not well researched. In this study I look at the most widely used proxies; i.e. World Index Return, change in Eurodollar rate, change in spread between 10-year U. READ MORE
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3. Pairs Trading, Cryptocurrencies and Cointegration : A Performance Comparison of Pairs Trading Portfolios of Cryptocurrencies Formed Through the Augmented Dickey Fuller Test, Johansen’s Test and Phillips Perron’s Test
University essay from Uppsala universitet/Statistiska institutionenAbstract : This thesis analyzes the performance and process of constructing portfolios of cryptocurrency pairs based on cointegrated relationships indicated by the Augmented Dickey-Fuller test, Johansen’s test and Phillips Peron’s test. Pairs are tested for cointegration over a 3-month and a 6-month window and then traded over a trading window of the same length. READ MORE
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4. Risk-Managed Momentum Strategy Using Support Vector Machines
University essay from Handelshögskolan i Stockholm/Institutionen för nationalekonomiAbstract : Investment decisions are difficult to make, given the uncertainty about the future. For the purpose of reducing that uncertainty, I investigate, for one, how the consumer price index and the return on the 3-month US Treasury bill can be used by support vector machines to make monthly directional trend predictions of a value-weighted portfolio of stocks traded at AMEX, NYSE and NASDAQ. READ MORE
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5. To return or not return - Trend spotting in the Swedish market
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : The following essays checks whether the Swedish stock market (represented by OMXS30) supports the weak efficiency of the EMH by observing whether the stocks contain a unit root and whether one can use trading strategies to create abnormal profits. The AR(1) model of the stock prices have a unit root coefficient very close to 1, thus they are trend stationary but have a very long memory. READ MORE