Essays about: "Composite Pricing"

Showing result 1 - 5 of 6 essays containing the words Composite Pricing.

1. 1. 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

3. 2. Performance Evaluation of Small- and Large-cap stocks - The importance of size effects on the Swedish equity market

   University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

   Author : Andreas Carlsson; Erik Hulth; [2019-02-20]
   Keywords : Performance Evaluation; Asset pricing; Size Effect; Sharpe Ratio; Treynor ratio; Jensen´s alpha; Risk-Adjusted Returns; Fama-French Three-Factor Model; Carhart Four-Factor Model; Multi-factor models; Single-factor model;

   Abstract : This Bachelor´s thesis investigated the performance of small-cap stocks and large-cap stocks on the Swedish equity market (NASDAQ OMX) over the years 2011 to 2016. A number of studies focused on asset pricing have during the last decades indicated that the original Capital Asset Pricing Model (CAPM) is misspecified and has limited power to explain cross-sectional and temporal variations in expected equity returns. READ MORE

4. 3. Development of Strategic Emerging Industries in Shenzhen and Their Implications on Investor Sentiment and Asset Pricing

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Meng Chen; Chen Pan; [2014]
   Keywords : Strategic Emerging Industries; Investor Sentiment; VAR Model; Cross-Sectional Regression;

   Abstract : Our paper sheds lights on the analysis of strategic emerging industries (SEIs) in Shenzhen by investigating the characteristics of each SEI in stock market and the role that investor sentiment plays. We carry out a broad and explorative research from an industry perspective and a pre-post event analysis on the impact of SEI policy announcement in 2010-2011. READ MORE

5. 4. Incomplete Market Models and The Housing Market

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Henrik Petri; Olof Gustafsson; [2010]
   Keywords : Housing Market; Calibration; Brownian motion; Ornstein Uhlenbeck; Good Deal Bounds;

   Abstract : This thesis investigates the characteristics of the market for housing derivatives. We fit two incomplete market models to data using futures contracts on the S&P/Case-Shiller Composite 10 Index. READ MORE

6. 5. Predicting the smile: A study on the properties of the volatility surface of S&P Composite 500 Index option

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Johan Blomkvist; Viktor Berggren; [2010]
   Keywords : Implied volatility; Volatility smiles; Volatility surface; Options;

   Abstract : The classic Black-Scholes model on option pricing from 1973 has been a widely debated and scrutinized theory over the past decades. Despite its proved limitations and simplifications, it remains as the most used pricing model of public traded options today. READ MORE