Essays about: "Aggregate risk factors"

Showing result 1 - 5 of 17 essays containing the words Aggregate risk factors.

  1. 1. Flight to climate: liquidity commonality in brown equities

    University essay from Stockholms universitet/Företagsekonomiska institutionen

    Author : Haiping Yu; [2023]
    Keywords : ESG; ESG Investing; Climate investing; Liquidity Commonality; Systematic Liquidity Risk;

    Abstract : Emerging ESG studies have established a negative equilibrium correlation between ESG factors and stock returns in an economy predominately influenced by investors with nonpecuniary preference over high ESG credentials. However, little research has delved into a potential systematic liquidity risk phenomenon associated with aggregate trading activities of ESG-motivated investors who share a common nonzero ESG preference component in their utility function. READ MORE

  3. 2. Investigating the influence of the tidal regime on harbour porpoise Phocoena phocoena distribution in Mount’s Bay, Cornwall

    University essay from Lunds universitet/Institutionen för naturgeografi och ekosystemvetenskap

    Author : Duncan Jones; [2023]
    Keywords : Geography; Geographical Information Systems; GIS; Habitat Modelling; Harbour Porpoise; MaxEnt; Tidal Processes; Conservation; Earth and Environmental Sciences;

    Abstract : Investigating the influence of the tidal regime on harbour porpoise Phocoena phocoena distribution in Mount’s Bay, Cornwall Abstract Unintentional by-catch in fishing gear is a significant cause of mortality of harbour porpoises in UK waters. Understanding the spatial distribution of harbour porpoises at fine scales and how this changes over time is essential when trying to understand where these lethal interactions might occur. READ MORE

  4. 3. Follow the Money : Determinants of Cap Rates in the Stockholm Office Market

    University essay from KTH/Fastighetsföretagande och finansiella system

    Author : Henrik Saxton; [2022]
    Keywords : Real estate economics; macroeconomy; capitalization rate determinants; foreign investments; unconventional monetary policy; econometrics; dynamic ordinary least squares DOLS regression analysis; Fastighetsekonomi; makroekonomi; bestämningsfaktorer för direktavkastningskrav; utländska investeringar; okonventionell penningpolitik; dynamisk vanliga minstakvadratmetoden DOLS regressionsanalys;

    Abstract : Purpose – In recent decades the inflation- and interest rates have followed a long-termdeclining trend. Followed by central banks starting to use unconventional monetary policiesto cope with financial crises have led to increased amounts of liquidity in the financialsystems and available and looking for investment alternatives on the capital markets. 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. Industry Anomalies: An examination of asset pricing anomalies through an industry-specific framework

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Kristiyan Denev; Aleksandar Strinic; [2020]
    Keywords : Industry returns; Asset pricing; Anomalies; Industry Factors; Investment strategies;

    Abstract : The finance literature has discovered a large number of anomalies in the cross-section of stock returns over the past three decades. This thesis examines whether some of the most robust anomalies also appear within industries, and whether some are more prominent than others within specific industry sectors. READ MORE