Essays about: "Equity Market Neutral"

Showing result 1 - 5 of 17 essays containing the words Equity Market Neutral.

  1. 1. Evaluating the Effect of Meta-Labeling on Equity Market Neutral Strategy

    University essay from Lunds universitet/Statistiska institutionen

    Author : Niclas Wölner-Hanssen; [2023]
    Keywords : Meta-Labeling; Probabilistic Sharpe Ratio; Equity Market Neutral; Mathematics and Statistics;

    Abstract : This thesis aims to construct an Equity Market Neutral (EMN) strategy framework to predict intraday excess returns of stocks within the S&P 500 index by utilizing machine learning techniques proposed by (López de Prado, 2018). The constructed EMN strategies within the framework utilizes techniques such as Stacked Single Feature Importance (SSFI), sample weighting, Probabilistic Sharpe Ratio (PSR), and meta-labeling. READ MORE

  3. 2. Skin in the Game: Should Investors Care About Manager and Board Member Ownership?

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Ludvig Hylander; Johan Åkesson; [2022]
    Keywords : Ownership Structure; Stock Price Performance; Insider Ownership; Incentives; Equity Ownership;

    Abstract : In this study, we investigate if companies where corporate insiders (board members and management teams) own a significant share of the company, have a better stock price performance than companies where corporate insiders own little or no shares. We use the Fama-French three-factor model to break down the stock price performance. READ MORE

  4. 3. A Return Maximizing Strategy in Market Rebounds for Swedish Equity Funds

    University essay from KTH/Matematisk statistik

    Author : Carl Sävendahl; Erik Flodmark; [2019]
    Keywords : Applied Mathematics; Multiple Linear Regression; Swedish Equity Funds; Macroeconomics; Market Rebound; Fund Performance; Stocks; Tillämpad Matematik; Multipel Linjär Regression; Svenska Aktiefonder; Makroekonomi; Market Rebound; Fondavkastning; Aktier;

    Abstract : The growing interest in savings on the financial markets implicates that the competition is expanding and managers of Swedish equity funds need to create shareholder value, independent of the macroeconomic situation. The Swedish financial market experienced a rapid rebound during the first quarter of 2019, following the plunge in the preceding quarter. READ MORE

  5. 4. Evaluating the Viability of Merger Arbitrage in Nordic Equities

    University essay from Uppsala universitet/Nationalekonomiska institutionen

    Author : Victor Hansen; Erik Lindholm-Röjestål; [2019]
    Keywords : Merger arbitrage; Nordic equity market; Mergers Acquisitions; Risk arbitrage; Cash mergers;

    Abstract : This thesis aims to examine whether a merger arbitrage strategy is able to generate market neutral alpha in the Nordic region. Similar studies of merger arbitrage strategies in both the US and Australian market find market neutral alpha. READ MORE

  6. 5. Measuring the Risk-neutral Probability Distribution of Equity Index Options

    University essay from Linköpings universitet/Produktionsekonomi

    Author : Gustav Dackner; Linus Falk; [2019]
    Keywords : ;

    Abstract : The focus of this master thesis is to develop a model that measures the risk-neutral probability distributionof the future value of a portfolio consisting of options on the S&P 500 index. The cornerstone of the model is an explicit and thorough construction of the local volatility surface. The parametric model of Coleman etal. READ MORE