Essays about: "Asset pricing"

Showing result 16 - 20 of 328 essays containing the words Asset pricing.

1. 16. Economic Policy Uncertainty and Stock Market Performance: The Role of CSR

   University essay from Handelshögskolan i Stockholm/Institutionen för redovisning och finansiering

   Author : Albin Hammarberg; Victor Möller; [2023]
   Keywords : Economic Policy Uncertainty; Corporate Social Responsibility; Capital Asset Pricing Model; Fama French Three Factor Model; Stock Market Returns;

   Abstract : This research study aims to examine the association between economic policy uncertainty (EPU) and stock market performance, and to investigate whether corporate social responsibility (CSR) has an impact on this relationship. The dataset used in this study comprises firms listed on the S&P 500 index from 2013 to 2022 and is applied on two models, the Capital Asset Pricing Model and Fama French Three Factor Model. READ MORE

3. 17. Statistical Modelling of Price Difference Durations Between Limit Order Books: Applications in Smart Order Routing

   University essay from KTH/Matematisk statistik

   Author : Hannes Backe; David Rydberg; [2023]
   Keywords : Smart Order Routing; Market Microstructure; Statistical Modelling; Survival Analysis; Kaplan-Meier; Cox Proportional Hazards; Random Survival Forest; Smart Order Routing; Marknadsmikrostruktur; Statistisk Modellering; Överlevnadsanalys; Kaplan-Meier; Cox Proportional Hazards; Random Survival Forest;

   Abstract : The modern electronic financial market is composed of a large amount of actors. With the surge in algorithmic trading some of these actors collectively behave in increasingly complex ways. Historically, academic research related to financial markets has been focused on areas such as asset pricing, portfolio management and financial econometrics. READ MORE

4. 18. Equity Greenium in the Nordic Markets

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Hui Li; Yanxu Chen; [2023]
   Keywords : Sustainable investing; ESG; Climate change; Equity premium;

   Abstract : This study investigates the performance of green and brown stocks in the Nordic market, examining whether high realised returns correspond to high expected returns. Using a brown-minus-green portfolio from Nordic stock data, the findings reveal that brown stocks outperformed green stocks during the sample period from 2012 to 2022, with a cumulative return difference of 18. READ MORE

5. 19. Pricing and Hedging American-Style Options withDeep Learning: Algorithmic implementation

   University essay from Uppsala universitet/Analys och partiella differentialekvationer

   Author : Mohammed Moniruzzaman Khan; [2023]
   Keywords : ;

   Abstract : This thesis aims at evaluating and implementing Longstaff & Schwarz approach for approximating the value of American options. American options are generally hard to value, exercised at any time up to its expiration and moreover, there is no closed- form solution for an American option’s price. READ MORE

6. 20. An Artificial Neural Network Approach to Algorithmic Trading

   University essay from Lunds universitet/Matematisk statistik

   Author : Timmie Bengtsson; [2023]
   Keywords : Financial Markets; Machine Learning; Long Short-Term Memory; Gated Recurrent Unit; Recurrent Neural Networks; Time Series Analysis; Algorithmic Trading; Mathematics and Statistics;

   Abstract : The field of machine learning has advanced significantly in recent decades, and, at the same time, computational power has improved to the point where training large machine learning models, such as artificial neural networks, is now accessible. Consequently, there has been a rise in the use of these models within the financial sector, with some firms leveraging them to assist with investment decisions. READ MORE