Essays about: "Empirical asset pricing"
Showing result 16 - 20 of 64 essays containing the words Empirical asset pricing.
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16. An Empirical Study of Autoencoder Asset Pricing Models and the Impact of Arbitrage Constraints
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : Following Gu et al. (2021), we implement a state-of-the-art machine learning asset pricing model, the conditional autoencoder, to capture the time-varying interactions between observable stock characteristics and factor loadings, while simultaneously extracting latent factors from stock returns. READ MORE
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17. Political Risk in Asset Pricing - Evidence from Latin America: An Empirical Study of Brazil, Chile, Colombia, Mexico, and Peru
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : Project valuation in emerging markets is an important issue in international business. Practitioners and academics usually suggest adjusting the discount rate with the sovereign yield spread to capture political risk in the valuation. READ MORE
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18. What does it cost to be green? : An empirical investigation of the European green bond market
University essay from Uppsala universitet/Företagsekonomiska institutionenAbstract : The green bond market offers investors the opportunity to take an explicit focus on sustainable investment projects. However, it is yet to be determined whether this novel asset class offers attractive yields compared to non-green bonds. READ MORE
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19. “Smart Money” in a bear market? : Swedish active equity mutual funds’ ability to add value towards investors in the bear market Q1 2020
University essay from Stockholms universitet/Företagsekonomiska institutionenAbstract : It is well-established by an abundance of previous empirical work presenting evidence that the average active equity mutual fund manager underperforms their benchmark net of expenses persistently over longer time-horizons. Active fund managers have the possibility to invest smart by forecasting the market and change their exposure to the market in regard of macroeconomic events to protect their portfolios violating the theory of an efficient market. READ MORE
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20. Does the sinner beat the saint? An empirical study of the Nordic stock market
University essay from Göteborgs universitet/Graduate SchoolAbstract : Abstract This research paper studies the interaction between monthly returns of sin stock portfolios, where the purpose is to get an understanding of what impact an exclusion of sin stocks can have on portfolio returns for Nordic stock investors. OLS (ordinary least squares) time-series regression models are used to execute this research, using data between 1990-2018. READ MORE
