Essays about: "Equity risk premium"

Showing result 6 - 10 of 46 essays containing the words Equity risk premium.

1. 6. Using Machine Learning to Predict Aggregate Excess Returns

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Erik Jonsson; Sebastian Gierlowski Carling; [2021]
   Keywords : Equity premium; Machine learning; Non-linear models; Penalized linear models; Prediction;

   Abstract : In this paper we examine whether standard linear regression and machine learning tools can be used to predict the time series of total returns in excess of the risk-free rate on the S&P500 and FTSE100 indices. We have virtually no success in predicting monthly returns. However, we do have some success in predicting annual returns. READ MORE

3. 7. DOES IT PAY TO BE ESG? : An empirical analysis of sustainability in the Nordic countries from a risk and valuation perspective

   University essay from Umeå universitet/Företagsekonomi

   Author : Corentin Arnou; Marcus Hammarstedt; [2021]
   Keywords : ESG; Cost of equity; Sustainable finance; Price-to-earnings ratio; Price-to-book ratio; Enterprise value to earnings before interest and taxes ratio; Covid-19; Shareholder’s theory; Stakeholder’s theory; Information asymmetry;

   Abstract : In the field of sustainable finance, Environmental-, Social- and Governance-ratings (ESG) have become an acknowledged measurement of a firm's sustainability performance. The increased awareness of sustainability issues in today's society is undeniable. READ MORE

4. 8. Bankruptcy Risk and Market Rationality During Covid-19: Swedish Evidence

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi; Handelshögskolan i Stockholm/Institutionen för redovisning och finansiering

   Author : Leo Allebeck; Andre Lagerkvist; [2021]
   Keywords : Bankruptcy risk; Market rationality; Covid-19; Residual income valuation; Accounting based bankruptcy prediction;

   Abstract : Purpose: To examine the changes in bankruptcy risk that occurred during the beginning of the Covid-19 pandemic for companies listed on Nasdaq Stockholm, and to test market rationality regarding i) the changes in bankruptcy risk, ii) the equity risk premium associated with bankruptcy risk in the 1-year period after the market trough. Method: Bankruptcy risk is estimated with the Skogsvik (1990) model and a bankruptcy risk calibrated Residual Income Valuation model. READ MORE

5. 9. A Wolf In Sheep's Clothing, A study about potential closet indexing in the Swedish equity mutual fund industry.

   University essay from

   Author : Philip Dufwa; Johan Johansson; [2020-08-20]
   Keywords : Active Share; Tracking error; Fund activity; Fees; Mutual funds; Closet indexing; Index hugging;

   Abstract : We measure the activity of Swedish domiciled equity mutual funds with Sweden as geographical investment universe, by calculating their active share with respect to major market indices like OMX30 GI and OMX Small Cap TR and retrieving tracking error and r-squared from Bloomberg. Afterwards we calculate the cost to investors by comparing the cost of investing in comparable explicit index funds and the cost of the closet indexers. READ MORE

6. 10. GP stakes in Private Equity: An Empirical Analysis of Minority Stakes in Private Equity Firms

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Jonatan Gustafsson; Erik Fogelström; [2020]
   Keywords : GP Stakes; Minority Stakes; Private Equity; Agency Conflicts; Difference-in-Differences;

   Abstract : This study examines the phenomenon of minority stakes in Private Equity firms ("GP stakes") and specifically the motives behind such deals and their fund-level impact on target firms. We use a unique dataset on GP stake deals between 1988-2020 to empirically analyze the motivations behind GP stakes using logit regressions and their fund level impact using a Difference-in- Differences (DiD) approach with fixed effects. READ MORE