Essays about: "Equity risk premium"
Showing result 21 - 25 of 46 essays containing the words Equity risk premium.
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21. Mutual fund performance in the Swedish premium system - Beyond the mean-variance framework
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : This paper presents an evaluation of the Swedish pension system, using performance measures that accounts for higher moments of the distribution. The aim of this study is to analyze the relationship between the classical Sharpe ratio and more sophisticated measures, while specifically focusing on the outcome of the default fund in the system. READ MORE
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22. INTERGRATION OF EUROPEAN EQUITY MARKETS
University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistikAbstract : This thesis analyses the integration levels of European equity markets towards a regional market and the world market. In addition, we test for seasonality and unit root presence in the equity market indices. We use the returns of national equity indices of five euro-countries. READ MORE
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23. Emerging and Frontier Markets for Risk Averse Investors? : A study on equity risk premium and correlation in 96 markets.
University essay from Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO)Abstract : Introduction: The portfolio theory states that an investor has to take into consideration expected return and variance to construct an optimal portfolio along the efficient frontier. The equity risk premium suggests that an investment’s expected return is related to the amount of risk it consists of. READ MORE
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24. The Uncertainty of Risk - Volatility of Volatility in the Swedish Equity Market
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : In addition to market volatility, a stylized theoretical model and recent empirical findings suggests the existence of a premium for market volatility of volatility. By developing seven different measures of volatility of volatility and through the method of principal component analysis, we investigate if this aggregate uncertainty is priced in the Swedish equity market. READ MORE
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25. To Have or Not to Have? The Impact of Financial Targets on the Cost of Capital
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : We study the effect of communicating long-term financial targets, but not the attainment of them, on the equity cost of capital. We examine the effect targets have on risk factors in an augmented Fama and French model, where illiquidity is added as a risk factor, and find that dividend, profitability and leverage targets decrease the cost of capital through the market risk premium and SMB risk factors. READ MORE