Essays about: "Empirical asset pricing"

Showing result 6 - 10 of 64 essays containing the words Empirical asset pricing.

1. 6. Artificial Intelligence for Option Pricing

   University essay from Göteborgs universitet/Institutionen för matematiska vetenskaper

   Author : Emil Hietanen; [2022-06-19]
   Keywords : Options; calls; puts; pricing; artificial neural networks; models; volatility; comparison;

   Abstract : This thesis addresses the issue of vulnerable underlying assumptions used in option pricing methodology. More precisely; underlying assumptions made on the financial assets and markets make option pricing theory vulnerable to changes in the financial framework. READ MORE

3. 7. Deep learning, LSTM and Representation Learning in Empirical Asset Pricing

   University essay from KTH/Skolan för elektroteknik och datavetenskap (EECS)

   Author : Benjamin von Essen; [2022]
   Keywords : LSTM; empirical asset pricing; deep learning; representation learning; neural networks; LSTM; empirisk tillgångsvärdering; djupinlärning; representationsinlärning; neurala nätverk;

   Abstract : In recent years, machine learning models have gained traction in the field of empirical asset pricing for their risk premium prediction performance. In this thesis, we build upon the work of [1] by first evaluating models similar to their best performing model in a similar fashion, by using the same dataset and measures, and then expanding upon that. READ MORE

4. 8. Mispricing of Climate Risk

   University essay from Lunds universitet/Företagsekonomiska institutionen

   Author : Lovisa Dahlquist; Lena Maria Tschanhenz; [2022]
   Keywords : Bloomberg GHG estimates; Risk premium for climate risk; ESG reporting; Sustainable investing; Stock market equilibrium; Business and Economics;

   Abstract : Purpose: Study the relationship between stock returns and GHG emissions regarding a risk premium related to greenness. This by using GHG emissions estimated by Bloomberg rather than companies self-reported estimates. Methodology: The study conducts a time-invariant model by cross-sectional OLS regression to estimate the risk premium for greenness. READ MORE

5. 9. Residual Momentum and Volatility – Managed Portfolios : A Study on the Swedish Equity Market

   University essay from KTH/Fastighetsföretagande och finansiella system

   Author : Erik Huss; Mario Ishak; [2022]
   Keywords : Residual Momentum; Volatility Management; Asset Pricing; Volatility Scaling; Momentum; Transaction Costs; Idiosynkratiskt Momentum; Riskstrategier; Tillgångsprissättning; Momentum; Transaktionskostnader;

   Abstract : In this paper, we present empirical results from the Swedish equity market when testingdifferent strategies aiming at enhancing the performance of a momentum strategy, over a timeperiod from 2000 to 2021. Similar to research conducted on other markets, we find theexistence of a momentum premium on the Swedish equity market, but with a return that is fattailed and negatively skewed. READ MORE

6. 10. Q-factor Investment Approach: Evidence from the Swedish Equity Market

   University essay from Göteborgs universitet/Graduate School

   Author : Jesper Lundgren; Robin Olin; [2021-06-30]
   Keywords : Asset pricing; q-factor model; Swedish equity market;

   Abstract : Four easily measured factors: market, size, investment, and pro tability together con- stitute the empirical q-factor model. The combination of factors have previously shown to largely capture the cross-sectional variation in average stock returns. READ MORE