Essays about: "Adaptive market hypothesis"

Showing result 1 - 5 of 10 essays containing the words Adaptive market hypothesis.

  1. 1. ESG investing in the Eurozone : Portfolio performance of best-effort and best-in-class approaches

    University essay from Umeå universitet/Företagsekonomi; Umeå universitet/Företagsekonomi

    Author : Kajsa Andersson; Simon Mårtensson; [2019]
    Keywords : ESG; sustainable finance; sustainable investing; portfolio performance; risk-adjusted returns; abnormal returns;

    Abstract : The last decades have seen a rapid increase of sustainable investing, also known as ESG (Environmental, Social and Governance) investing. There has also been an increasing body of academic literature devoted to whether investors can gain any financial benefits from taking ESG under consideration. READ MORE

  2. 2. Utilizing short-term noise in non-efficient markets by paired assets : -Introducing the Technical AMH trader

    University essay from Umeå universitet/Nationalekonomi

    Author : Love Westin; [2019]
    Keywords : ;

    Abstract : In this paper, we present an algorithmic implementation of a pairs trading strategy on the OMXS during the years from 2010 until 2018. In our case, the trading algorithm is based on the Adaptive Market Hypothesis (AMH) theory. Hence, the algorithm scans the market for temporary inefficient behaviour, as defined by AMH. READ MORE

  3. 3. 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/Företagsekonomi

    Author : Steve Sherlock; [2018]
    Keywords : Adaptive markets hypothesis; risk-return trade-off; volatility anomaly; market environment;

    Abstract : 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

  4. 4. “Brand Equity – A Study on the relationship between brand equity and stock performance”.

    University essay from Umeå universitet/Företagsekonomi

    Author : Evelin Hinestroza; [2017]
    Keywords : Brand equity; Stock performance; information asymmetry; financial disclosure; Nordic; relationship;

    Abstract : In today’s competitive market companies aim at increasing revenue to acquire a higher market share. Previous research indicates that this can be achieved with intangible assets. READ MORE

  5. 5. Testning the Adaptive Market Hypothesis on the OMXS30 Stock Index: 1986-2014 : Stock Return Predictability And Market Conditions

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

    Author : Louise Svensson; Andreas Soteriou; [2017]
    Keywords : Adaptive market hypothesis; stock return predictability; market conditions; linear independence; non-­linear independence; market efficiency;

    Abstract : We evaluate the validity of the Adaptive Market Hypothesis (AMH) in a Swedish context by testing for stock return predictability on the OMXS30 stock index between 1986 and 2014 using daily returns and monthly two year moving subsamples. To our knowledge, this is the first study to evaluate the AMH in a Swedish context. READ MORE