Essays about: "Large cap volatility"

Showing result 16 - 20 of 29 essays containing the words Large cap volatility.

  1. 16. Investigating New Multifactor Models with a Conditional Dual-Beta : Can a Conditional Dual-Beta in the Market Factor add Explanatory Value in New Multifactor Models? A study of the Swedish Stock Market between 2003 and 2015

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

    Author : Joakim Lind; Lars Sparre; [2016]
    Keywords : Asset-pricing model; Multifactor model; Conditional beta; Dual-Beta; Five-Factor Model; Q-Factor Model; Beta-sorted Portfolios; Swedish Stock Market;

    Abstract : This thesis investigates pricing-performance of two recently developed multifactor asset-pricing models with the implementation of dual-betas dependent upon prevailing market-conditions. The models included in the study are the Fama and French five-factor model and the Q-factor model by Hou, Xue and Zhang. READ MORE

  3. 17. The Relation Between Idiosyncratic Volatility and Returns for U.S. Mutual Funds

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Kevin Skogström Lundgren; [2016]
    Keywords : Idiosyncratic volatility; Mutual funds; Carhart four-factor model; ARIMA model; Carhart four-factor alpha; Business and Economics;

    Abstract : Theoretically the relation between returns and idiosyncratic volatility should be non-existent or positive. Many empirical studies confirm this but Ang, Hodrick, Xing and Zhang (2006) contest the conventional view and find a negative relationship for a sample of U.S. firms. READ MORE

  4. 18. Irreversible Investments under Uncertainty and Inside-ownership. Real Option Approach in a Reduced Form Hazard Model

    University essay from Göteborgs universitet/Graduate School

    Author : Magnus Brandt; Jesper Börjesson; [2015-07-13]
    Keywords : Real options; irreversibility; hazard model; inside-ownership; systematic risk; idiosyncratic risk;

    Abstract : This thesis investigates the probability of making a marginal investment in 33 Swedish Large Cap firms from 2005 to 2015. We use marginal rate of return as a trigger event in an option to delay. This is then examined in a reduced form hazard model using the Black & Scholes option parameters. READ MORE

  5. 19. Capital Structure and Stock Returns - A study of the Swedish large cap companies

    University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Author : Sofie Berggren; Alexander Bergqvist; [2015-06-03]
    Keywords : Capital Structure; Trade-off Theory; Pecking Order Theory; Leverage; Stock Returns; Sweden;

    Abstract : This study uses multiple regression models to examine how capital structure and stock returns affect each other. Using a panel data study that includes 50 Swedish companies over a period of five years, the results show that leverage has a positive effect on stock returns. READ MORE

  6. 20. Forecasting value at risk in the Swedish stock market - an investigation of GARCH volatility models

    University essay from Uppsala universitet/Nationalekonomiska institutionen

    Author : Joel Nilsson; [2015]
    Keywords : ;

    Abstract : The purpose of this thesis was to investigate various conditional volatility models commonly used in forecasting financial risk within the field of Financial Econometrics. The GARCH, the GJR-GARCH and the T-GARCH models were examined. READ MORE