Essays about: "Large cap volatility"

Showing result 11 - 15 of 29 essays containing the words Large cap volatility.

  1. 11. Coronavirus-Related Sentiment and Stock Prices : Measuring Sentiment Effects on Swedish Stock Indices

    University essay from KTH/Fastigheter och byggande

    Author : Olga Piksina; Patricia Vernholmen; [2020]
    Keywords : market sentiment; behavioural finance; market efficiency; coronavirus; Swedish stock market; text analytics; sentiment analysis; news mining; marknadssentiment; beteendefinans; marknadseffektivitet; coronaviruset; svensk aktiemarknad; textanalys; sentimentanalys; news mining;

    Abstract : This thesis examines the effect of coronavirus-related sentiment on Swedish stock market returns during the coronavirus pandemic. We study returns on the large cap and small cap price indices OMXSLCPI and OMXSSCPI during the period January 2, 2020 – April 30, 2020. READ MORE

  3. 12. Determinants of Stock Price Volatility: A quantitative study on the Swedish stock market between 2004-2016

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Jacob Sewelén; [2018]
    Keywords : Business and Economics;

    Abstract : Syftet med denna uppsats är att undersöka om utdelningars utbetalningsgrad, vinstvolatilitet, storlek och hävstång har någon inverkan på aktiebolagets volatilitet. Vidare syftar denna uppsats till att undersöka huruvida dessa samband är tillämpliga på både Large Cap-företag och företag som listas på Mid och Small Cap. READ MORE

  4. 13. Risky Business - Modelling Distress on the Swedish Market

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Johanna Hallstedt; Kajsa Öström; [2018]
    Keywords : Distress risk; credit ratings; ordered probit model; distress risk premium; Nasdaq Stockholm; Business and Economics;

    Abstract : Financial distress is costly for a company and affects many stakeholders. Although models of distress and default have been constructed and developed by researchers for a long time, a model adapted to the unique characteristics of the Swedish market is still missing. READ MORE

  5. 14. Portfolio construction based on value and momentum: a winning strategy?

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Andreas Grann; [2017]
    Keywords : Value; momentum; portfolios; stocks; Business and Economics;

    Abstract : This study examines if there are positive effects of constructing portfolios based on value and momentum. Three value portfolios (low, medium, high) and three momentum portfolios are constructed using large cap stocks from the four Nordic Nasdaq OMX exchanges. The portfolios are then re-sorted on an annual basis over the test period 2005-2016. READ MORE

  6. 15. Factor Sensitivities to Alternative Macroeconomic Environments

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Olga Gladuniak; [2017]
    Keywords : smart beta; factor investing; Markov switching models; dynamic portfolios;

    Abstract : In this thesis, we examine how different factors are exposed to alternative macroeconomic environments. We apply a range of different approaches in order to explore these relationships. Firstly, we analyse mean excess returns and Sharpe ratios of factors in different macroeconomic regimes. READ MORE