Essays about: "Empirical Asset Pricing"

Showing result 11 - 15 of 64 essays containing the words Empirical Asset Pricing.

  1. 11. The Momentum Premium: An Intermediary Asset Pricing Perspective

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Simon Eliasson; David Öhlund; [2021]
    Keywords : Momentum; Intermediary Asset Pricing; Time-Varying Risk;

    Abstract : We attempt to explain the momentum premium using time-varying risk under the frictions of financial intermediation. Our conditional CAPM model reveals positive covariation between momentum's beta and the expected market risk premium. READ MORE

  3. 12. Implied volatility with HJM–type Stochastic Volatility model

    University essay from Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

    Author : Thi Diu Cap; [2021]
    Keywords : Implied volatility surface; stochastic volatility model; HJM framework;

    Abstract : In this thesis, we propose a new and simple approach of extending the single-factor Heston stochastic volatility model to a more flexible one in solving option pricing problems.  In this approach, the volatility process for the underlying asset dynamics depends on the time to maturity of the option. READ MORE

  4. 13. Responsible Investing: Costs and Benefits. A Cross-Country Study in Europe.

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Shayan Meskinimood; [2021]
    Keywords : Responsible investing; Environmental awareness; Portfolio performance; ESG-Sharpe Ratio frontier; ESG-adjusted CAPM.; Business and Economics;

    Abstract : This study employs the ESG-Sharpe Ratio frontiers framework and the ESG-adjusted CAPM model, introduced by Pedersen et al. (2020), to identify the costs and benefits of responsible investing and investigate the relationship between the environmental, social, and governance (ESG) issues and portfolio performance in different countries across Europe. READ MORE

  5. 14. A European CSR study about the deviation of valuation

    University essay from Umeå universitet/Företagsekonomi

    Author : Pontus Persson; Tatiana Dykina; [2021]
    Keywords : “ESG”; “sustainability”; “CSR”; “Market value”; “intrinsic value”; “Beta”; “CAPM”; “Cost of Equity”; “residual earning”;

    Abstract : For the last decades, public authorities and private firms have emphasized their focus on integrating sustainability into corporate disclosure. The shift towards CSR instead of the traditional profit maximization narratives is evident in increased demand among various stakeholders for sustainability awareness. READ MORE

  6. 15. Should You Trust Reddit with Your Money? A Machine Learning Approach to Estimating Stock Returns

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Loise Hedberg; Olle Ribberheim; [2021]
    Keywords : Empirical asset pricing; Machine learning; Social Media; Market efficiency; Stock returns;

    Abstract : We replicate the results of Empirical Asset Pricing via Machine Learning by Gu, Kelly, and Xiu (2020), and make an extension by using a daily interval instead of a monthly. Furthermore, we make an extension of the topic by generating data from wallstreetbets, in order to investigate whether there is explanatory value of the subreddit to predict stock returns. READ MORE