Essays about: "Charles Ye"

Found 2 essays containing the words Charles Ye.

1. 1. International Volatility-Managed Equity Factors

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Charles Ye; Gustav Österberg; [2018]
   Keywords : international asset pricing; volatility-managed portfolios; volatility timing; momentum crashes;

   Abstract : Recent studies show that volatility timing works well across a number of different US asset pricing factors and for 20 developed market indices. Our study expands the literature by testing the same strategy across seven equity factors on an aggregate international level as well as for five equity factors on a country level in 24 developed markets. READ MORE

3. 2. Intermediary Asset Pricing and the Swedish Equity Market

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Jakob Barketorp Dirke; Charles Ye; [2016]
   Keywords : Financial intermediaries; Swedish equity market; Asset pricing; Leverage ratio;

   Abstract : Increasingly, the focus of asset pricing research has shifted from the average household to the more sophisticated financial intermediaries. Our paper is the first to introduce this notion to the Swedish equity market by testing two intermediary asset pricing models, one based on shocks to broker-dealer leverage, and the other based on the return on aggregate wealth together with shocks to the primary dealer capital ratio. READ MORE