Essays about: "Daniil Bargman"

Found 3 essays containing the words Daniil Bargman.

  1. 1. Think on the Downside: Multifactor asset pricing models based on downside risk and their performance relative to the CAPM, FF3F and Momentum

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Daniil Bargman; [2012]
    Keywords : downside risk; MLPM; Omega; co-skewness; co-kurtosis;

    Abstract : This paper introduces two new measures of asset performance in a downside risk-­-reward framework. The first measure, Omega-­-H, is an extension of the Omega ratio from Keating and Shadwick (2002a) that captures an asset's idiosyncratic downside risk and upside potential. READ MORE

  3. 2. How Irrational Behavour Creates Order and How This Order Can Be Determined : The Theory and Practice of Fractal Market Analysis

    University essay from IHH, Nationalekonomi

    Author : Daniil Bargman; [2011]
    Keywords : behavioural finance; chaos theory; financial economics; fractal theory; frequency domain representation; harmonic analysis; Fourier transform; market efficiency; Minority Game;

    Abstract : This paper analyzes two main frameworks that challenge the “mainstream” finance theory and the random walk hypothesis. The first framework is based on investor irrationality and is called Behavioural Finance. The second framework views the financial market as a chaotic system and is called Fractal Theory of a financial market. READ MORE

  4. 3. IFRS Implementation in Germany and the UK : And its Effects on the Quality of Accounting Information from an Investor Perspective

    University essay from IHH, Företagsekonomi

    Author : Daniil Bargman; Lisa Hansmann; [2011]
    Keywords : IFRS; German GAAP; UK GAAP; Accounting Quality; Information Asymmetry; IASB; Basu measure; Market-to-Book MTB ratio; Earnings-Returns Association; Earnings Management;

    Abstract : This thesis investigates whether IFRS adoption has led to an increase in the relevance of accounting information for investment decisions. Furthermore, the effects of IFRS are implicitly compared across accounting traditions. READ MORE