Essays about: "Idiosyncratic Risk"

Showing result 26 - 30 of 55 essays containing the words Idiosyncratic Risk.

  1. 26. Reducing Inequality via Taxation Reforms - a Macroeconomic Analysis

    University essay from Handelshögskolan i Stockholm/Institutionen för nationalekonomi

    Author : Lukas Neuhauser; [2017]
    Keywords : Inequality; redistribution; taxation reforms; welfare effects; incomplete markets;

    Abstract : Since the 1980s income and wealth inequality has been increasing in Europe and the United States. This paper examines taxation reform scenarios to reduce inequality in Germany, while simultaneously observing the effects on macroeconomic variables. READ MORE

  3. 27. The Effect of Idiosyncratic Volatility and the Role of Investors' Sentiment in the Swedish Stock Market

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Andrea Ricci; [2017]
    Keywords : Arbitrage risk; Arbitrage asymmetry; Idiosyncratic volatility effect; Swedish stocks; Investors sentiment;

    Abstract : The thesis investigates the presence of arbitrage risk and arbitrage asymmetry, and their relation with investors' sentiment, in the Swedish stock market. By assuming that stocks' idiosyncratic volatility (IVOL) translates into arbitrage risk, the study analyzes the effects of IVOL on subsequent returns for the OMX Stockholm 30 constituents. READ MORE

  4. 28. Modelling of Private Infrastructure Debt in a Risk  Factor Model

    University essay from KTH/Matematisk statistik

    Author : Martina Bartold; [2017]
    Keywords : Private Infrastructure Debt; Value at Risk; Factor Models; Revenue Model Risk; Stand-Alone Risk; Risk Contribution; Privat Infrastrukturskuld; Value at Risk; Faktormodeller; Intäktsmodeller; Stand-Alone Risk; Risk Contribution;

    Abstract : Allocation to private infrastructure debt investments has increased in the recent years [15]. For managers of multi-asset portfolios, it is important to be able to assess the risk of the total portfolio and the contribution to risk of the various holdings in the portfolio. READ MORE

  5. 29. Credit Spread Determinants : Significance of systematic and idiosyncratic variables

    University essay from Högskolan i Jönköping/IHH, Företagsekonomi

    Author : Svetozar Jargic; [2017]
    Keywords : Credit spread puzzle; systematic explanatory variables; idiosyncratic explanatory variables; structural models; credit spread; Eurobond market;

    Abstract : Credit spread is the extra risk-reward that an investor is bearing for investing in corporate bonds instead of government bonds. Structural models, which are simple in their framework, fail to explain the occurring credit spread and underestimate the predicted credit spread. READ MORE

  6. 30. No protection, nu business : An event study on stock volatility reactions to cyberattacks between 2010 and 2015 for firms listed in the USA

    University essay from Umeå universitet/Företagsekonomi

    Author : Erik Collin; Gustav Juntti; [2016]
    Keywords : stock volatility; cyberattack; abnormal return; volatility; event study; information technology; US stock market; cybersecurity; reaction; financial impact; market efficiency; finance; fintech;

    Abstract : With the surge of Internet-based corporate communication, organization, andinformation management, financial markets have undergone radical transformation. Inthe interconnected economy of today, market participants are forced to acceptcyberattacks, data breaches, system failures, or security flaws as any other (varying)cost of doing business. READ MORE