Essays about: "Gustav Österberg"

Found 2 essays containing the words Gustav Österberg.

  1. 1. International Volatility-Managed Equity Factors

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Charles Ye; Gustav Österberg; [2018]
    Keywords : international asset pricing; volatility-managed portfolios; volatility timing; momentum crashes;

    Abstract : Recent studies show that volatility timing works well across a number of different US asset pricing factors and for 20 developed market indices. Our study expands the literature by testing the same strategy across seven equity factors on an aggregate international level as well as for five equity factors on a country level in 24 developed markets. READ MORE

  3. 2. The exposure to illiquidity of stocks - a study of the determinants with a focus on the 2007-2009 financial crisis

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Patrik Tran; Gustav Österberg; [2014]
    Keywords : Illiquidity; Exposure to illiquidity; Financial crisis; Flight to quality; Flight to liquidity;

    Abstract : This paper investigates the determinants of stocks' exposure to illiquidity in the US stock market. The periods that are examined are the financial crisis of 2007-2009 and the non-crisis period of 2005-2007. READ MORE