Essays about: "Equity based modelling"

Showing result 1 - 5 of 10 essays containing the words Equity based modelling.

1. 1. Performance of Small- and Large-cap stock portfolios- The importance of market anomalies across business cycles

   University essay from Göteborgs universitet/Graduate School

   Author : Erik Hulth; [2021-06-30]
   Keywords : Stock performance; Market anomalies; Asset pricing; Portfolio sorting techniques; Factor-portfolio sorting techniques; Value effect; Size effect; Momentum effect; Temporal influences; Business cycles; GDP-gap; Single-and Multi- Factor models; CAPM; Fama-French Three-Factor model; Carhart Four-Factor model; Risk-adjusted equity returns; Sharpe Ratio; Jensen´s alpha; NASDAQ OMX and NYSE;

   Abstract : This Master´s thesis investigated the importance of the market anomalies size (market capitalization), value (Book-to-Market ratio) and momentum (lagged short-term momentum) for equity returns of small- and large-cap composite stock portfolios. The study focused on two contrasting stock markets (NASDAQ OMX and NYSE) across domestic business cycles over the time-period 2006 to 2021. READ MORE

3. 2. Evaluating Physical Climate Risk for Equity Funds with Quantitative Modelling : How Exposed are Sustainable Funds?

   University essay from Uppsala universitet/Naturresurser och hållbar utveckling

   Author : Sofia Wiklund; [2020]
   Keywords : climate change; ESG; sustainable finance; sustainable investment; ESG; hållbar finans; hållbar investering; klimatförändring;

   Abstract : The climate system is undergoing rapid changes because of anthropogenic emissions of greenhouse gases. The effects from a warmer climate are already noticeable today with more frequent extreme weather events. These extreme weather events have financial consequences and pose risks to the financial system. READ MORE

4. 3. Discounting Transition Risk : The Development of a Climate Risk Model for Equity Portfolios

   University essay from Uppsala universitet/Institutionen för geovetenskaper

   Author : Anne Kristin Kästner; [2020]
   Keywords : Climate risk; scenario analysis; transition; portfolio analysis; sustainable development; investment management;

   Abstract : To mitigate climate change, the transition to a low-carbon economy is imperative. Even though this transition poses unprecedented economic and social risks, academic research regarding the impacts of such risks on the financial sector is limited. READ MORE

5. 4. Performance Evaluation of Small- and Large-cap stocks - The importance of size effects on the Swedish equity market

   University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

   Author : Andreas Carlsson; Erik Hulth; [2019-02-20]
   Keywords : Performance Evaluation; Asset pricing; Size Effect; Sharpe Ratio; Treynor ratio; Jensen´s alpha; Risk-Adjusted Returns; Fama-French Three-Factor Model; Carhart Four-Factor Model; Multi-factor models; Single-factor model;

   Abstract : This Bachelor´s thesis investigated the performance of small-cap stocks and large-cap stocks on the Swedish equity market (NASDAQ OMX) over the years 2011 to 2016. A number of studies focused on asset pricing have during the last decades indicated that the original Capital Asset Pricing Model (CAPM) is misspecified and has limited power to explain cross-sectional and temporal variations in expected equity returns. READ MORE

6. 5. Structural Modelling of Credit Spreads on the European Bond Market: An Empirical Study

   University essay from Lunds universitet/Matematisk statistik

   Author : Marcus Zethraeus; Magnus Roos; [2017]
   Keywords : Structural models; Merton model; Black Cox model; European corporate bond spreads; Mathematics and Statistics;

   Abstract : This thesis empirically tests the explanatory power of structural models on the European corporate bond market. Using new evaluation methods, including LASSO and gradient boosting regression, we can provide an in-depth assessment of the models’ shortcomings. READ MORE