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Showing result 1 - 5 of 20 essays matching the above criteria.

  1. 1. Risk Management and Sustainability - A Study of Risk and Return in Portfolios With Different Levels of Sustainability

    University essay from KTH/Matematik (Avd.)

    Author : Magnus Borg; Lucas Ternqvist; [2023]
    Keywords : ESG; Value-at-Risk VaR ; Expected Shortfall ES ; Risk Management; Financial Risk; Financial Mathematics; Sustainability; Portfolio Management; Capital Asset Pricing Model CAPM ; Hållbarhet; Value-at-Risk VaR ; Expected Shortfall ES ; Riskhantering; Finansiell Risk; Finansiell Matematik; Portföljkonstruktion;

    Abstract : This thesis examines the risk profile of Electronically Traded Funds and the dependence of the ESG rating on risk. 527 ETFs with exposure globally were analyzed. Risk measures considered were Value-at-Risk and Expected Shortfall, while some other metrics of risk was used, such as the volatility, maximum drawdown, tail dependece, and copulas. READ MORE

  3. 2. Stock Market Volatility in the Context of Covid-19

    University essay from Jönköping University/IHH, Företagsekonomi

    Author : Liu Kunyu; [2022]
    Keywords : The U.S. stock market; COVID-19; volatility clustering; GARCH models; leverage effect;

    Abstract : The global economy has been severely impacted during the Covid-19 period. The U.S. stock market has also experienced greater volatility. READ MORE

  4. 3. How the Stock Market Rewards Green Bond Issuers : A Comparison of the Issuers’ Environmental Profiles

    University essay from Uppsala universitet/Företagsekonomiska institutionen

    Author : Eric Rahmberg; Zakrisson Jesper; [2022]
    Keywords : Green bonds; Event study; ESG; Europe; Sustainability; Abnormal Return;

    Abstract : As global warming is becoming a bigger problem, sustainable investments and the issuance of green bonds have increased. In this article, we study the announcement returns of green bond issuers based on the environmental firm effort and the environmental appearance of the sector to see how the European market reacts to different types of issuers. READ MORE

  5. 4. Covid-19, quantitative easing, and the awakening of abnormal returns at the Swedish stock market

    University essay from Södertörns högskola/Nationalekonomi

    Author : Emily Lindzén; Sofia Åhrman; [2022]
    Keywords : Quantitative easing; Austrian business cycle Theory; Financial instability hypothesis; Speculative bubbles; Covid-19; Abnormal returns; Kvantitativa lättnader; Österrikiska konjunkturcykelteorin; Finansiella instabilitets hypotesen; Spekulativa bubblor; Covid-19; Abnorm avkastning;

    Abstract : This thesis aims to investigate to what extent the quantitative easing monetary policy tool, applied by the Riksbank, contributed to abnormal returns at the Swedish stock market during Covid-19. The chosen time period is 2007-2022, including the period before and after the implementation of quantitative easing in Sweden in 2015. READ MORE

  6. 5. A European CSR study about the deviation of valuation

    University essay from Umeå universitet/Företagsekonomi

    Author : Pontus Persson; Tatiana Dykina; [2021]
    Keywords : “ESG”; “sustainability”; “CSR”; “Market value”; “intrinsic value”; “Beta”; “CAPM”; “Cost of Equity”; “residual earning”;

    Abstract : For the last decades, public authorities and private firms have emphasized their focus on integrating sustainability into corporate disclosure. The shift towards CSR instead of the traditional profit maximization narratives is evident in increased demand among various stakeholders for sustainability awareness. READ MORE