Essays about: "Equity volatility"

Showing result 21 - 25 of 149 essays containing the words Equity volatility.

  1. 21. REITs in a Mixed-Asset Portfolio

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Mary Anne Roa; [2022]
    Keywords : REIT; Pricing; Fama-French; Portfolio Simulation;

    Abstract : Diversification is a significant element of asset allocation. An alternative investment of great interest for many investors is real estate. The paper will explore the hypotheses of whether real estate investment trust (REITs)warrants inclusion in an investment portfolio. READ MORE

  3. 22. How do ESG assets relate to the financial market? : A Diebold-Yilmaz spillover approach to sustainable finance

    University essay from Linköpings universitet/Nationalekonomi; Linköpings universitet/Filosofiska fakulteten

    Author : Shobair Moosawi; Ludvig Segerhammar; [2022]
    Keywords : AR 1 -GARCH p; q ; Commodity; ESG; Equity; Return; Spillover; Sustainability; Sustainable finance; Volatility;

    Abstract : The purpose of this master’s thesis is to investigate to what extent ESG assets and traditional benchmarks affect one another. Since sustainable investment is a growing segment of the financial market, investors need to be informed about how it may affect their portfolios, and by extension if it can be used for portfolio diversification. READ MORE

  4. 23. Dividend Buying and Stock Volatility: Evidence from Sweden

    University essay from Umeå universitet/Företagsekonomi

    Author : Innocent Massawe; Avijit Kumar Das; [2022]
    Keywords : Dividend Buying; Dividend Yield; Stock Volatility; Stockholm Stock Exchange;

    Abstract : Abstract The relationship between dividend buying and stock volatility is the subject of our research. It focuses on all the listed companies on the Swedish stock market, with a particular emphasis on dividend buying and the impact of stock volatility on the underlying stocks of the indices in our sample. READ MORE

  5. 24. Cryptocurrency Return Predictors - A Replicative Reassessment Rising Stablecoin Growth - Cryptocurrency Return Predictors in New Market Conditions

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Erik Stålman; Alexander Ripe; [2022]
    Keywords : Cryptocurrency; Factors Model; Zero-Investment Long-;

    Abstract : We successfully construct nine significant cryptocurrency return predictor strategies based on market capitalization, momentum and volatility characteristics. We replicate the methods used in the article "Common Risk Factors In Cryptocurrency" using a larger and more recent dataset encompassing changed cryptocurrency market conditions and asset composition (Liu, Tsyvinski, Wu, 2022). READ MORE

  6. 25. EMPIRICAL ANALYSIS OF DEPENDENCE STRUCTURES AND SPILLOVER EFFECTS ACROSS STOCK MARKETS: A STUDY OF RELATIONSHIP BETWEEN VIETNAM AND ITS MAJOR TRADING PARTNERS

    University essay from Göteborgs universitet/Graduate School

    Author : My Phung; [2021-06-30]
    Keywords : stock markets; dependence structure; spillover effect; copula model; VAR-BEKK-GARCH model;

    Abstract : This thesis studies dependence structures and spillover effects between the Vietnamese stock market and the American, Japanese, and European equity markets over the period from 2005 to 2020. For this purpose, I use copula-based models to investigate the dependence structure and asymmetric VAR-BEKK-GARCH frameworks to further define spillover effects. READ MORE