Essays about: "Arbitrage Pricing Theory"

Showing result 1 - 5 of 17 essays containing the words Arbitrage Pricing Theory.

  1. 1. Arbitrage Pricing Theory: A study on the Stockholm Stock

    University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Author : Richard Johansson; Pierre Petersson; [2019-03-01]
    Keywords : Arbitrage Pricing Theory; APT; Stockholm Stock Exchange; Macroeconomic Factors; Multi Factor Model;

    Abstract : This thesis investigates the macroeconomic factors that affect the returns on the different portfolios in Stockholm Stock Exchange by using Arbitrage Pricing Theory (Stephen Ross 1976). We use the portfolios of Large Cap, Mid Cap, Small Cap, and All Caps. Specifically, multiple index model is used. The sample period is 2012-2017. READ MORE

  2. 2. A Multi-Factor Stock Market Model with Regime-Switches, Student's T Margins, and Copula Dependencies

    University essay from Linköpings universitet/Produktionsekonomi; Linköpings universitet/Produktionsekonomi

    Author : Adnan Berberovic; Alexander Eriksson; [2017]
    Keywords : finance; statistics; stock market; stocks; factor; factors; probability; probability distribution; students t distrbution; students t; copula; markov chain; hidden markov model; regime switching; stochastic programming; optimisation; optimization; multi factor model; arbitrage pricing theory; return; performance; back test; expectation maximisation; expectation maximization; multiple linear regression; stochastic process; primal-dual interior point; qq-plot; qq plot; excess return; market regimes; bear market; bull market; market index; index;

    Abstract : Investors constantly seek information that provides an edge over the market. One of the conventional methods is to find factors which can predict asset returns. In this study we improve the Fama and French Five-Factor model with Regime-Switches, student's t distributions and copula dependencies. READ MORE

  3. 3. On-Line Market Microstructure Prediction Using Hidden Markov Models

    University essay from KTH/Matematisk statistik

    Author : Måns Tillman; [2017]
    Keywords : ;

    Abstract : Over the last decades, financial markets have undergone dramatic changes. With the advent of the arbitrage pricing theory, along with new technology, markets have become more efficient. READ MORE

  4. 4. The Effect of Bond Convexity in Abnormal Volatility

    University essay from

    Author : Adam Prinselaar; Johan Särén; [2016-07-06]
    Keywords : Convexity; Duration; Fixed-Income; Volatility; U.S. Treasury Bonds; Bond Returns;

    Abstract : According to earlier empirical studies, convexity in the U.S. treasury market is arbitrage-free priced. This paper study whether the arbitrage-free pricing of convexity held even in the financial crisis and the volatile period that followed. READ MORE

  5. 5. Examining exchange rate return factors before and after the Lehman bankruptcy

    University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Author : Roderick Nilsson; Philip Thureborn; [2013-06-14]
    Keywords : ;

    Abstract : This thesis examines exchange rate return factors of holding USD before and after Lehman Brothers Bankruptcy on September 15th 2008, by analysing the relationship with multiple regressions and correlation to trace any significant influence by applying the framework provided by the Arbitrage Pricing Theory, spearheaded by Chen, Roll and Ross, 1986. Thus, regressions on the exchange rate return were computed on the historical macroeconomic data. READ MORE