Essays about: "Macroeconomic factor model"

Showing result 1 - 5 of 37 essays containing the words Macroeconomic factor model.

1. 1. Macroeconomic Factors and their role in Moderating Diversification effect of Asset Classes in the EU

   University essay from Umeå universitet/Företagsekonomi

   Author : Karl Nilsson; Tanyue Zheng; [2023]
   Keywords : macroeconomic factors; asset classes; diversification strategies; portfolio management; institutional qualities;

   Abstract : After the 2008 financial crisis, some have questioned the historically positive benefits ofdiversification, meanwhile others have stated a clear misunderstanding of whatdiversification entails. This study argues diversification is still viable in portfolio theory,and that more effort should be emphasized on macroeconomic factors’ role in theoptimal portfolio. READ MORE

3. 2. How Does the Three-factor Model Perform and What Explains its Performance? Empirical tests on Swedish stock portfolios

   University essay from Lunds universitet/Nationalekonomiska institutionen; Lunds universitet/Statistiska institutionen

   Author : Daniel Björck; [2023]
   Keywords : Three-factor model; stock returns; Swedish stocks; CAPM; Business and Economics;

   Abstract : In this study the three-factor model of Fama and French (1992; 1993) is evaluated on portfolios of Swedish stocks. Both a cross-section and time series approach are used to evaluate the model. The results show that beta, size, and book-to-market are significant variables in explaining excess returns of Swedish stock portfolios. READ MORE

4. 3. Quantitative Easing and Asset Price Bubbles

   University essay from Handelshögskolan i Stockholm/Institutionen för nationalekonomi

   Author : Andrew Buckner; [2022]
   Keywords : Federal Reserve; Housing Prices; Quantitative Easing; Riksbanken;

   Abstract : This paper examines the effect of Quantitative Easing policies from the central banks of the United States and Sweden on the housing prices of their respective countries. Controlling for macroeconomic indicators focuses the analysis to just the effects of the bond purchases directly. READ MORE

5. 4. Principal Component Analysis and the Cross-Sectional Variation of Returns

   University essay from

   Author : Armin Ramovic; Mikael Åkerman; [2021-06-23]
   Keywords : Principal Component Analysis; PCA; principal components; cross-sectional variation of returns; risk premia; asset pricing; demensionality reduction; risk factors; machine learning;

   Abstract : We utilize Principal Component Analysis (PCA), a dimensionality reduction technique, on a set of 142 risk factors, including macroeconomic factors, proposed in financial literature to construct factor models with high explanatory powers when analysing the cross-sectional variation of portfolio returns. We apply a Fama and Macbeth (1973) two-pass regression to estimate risk premia commanded by our principal components. READ MORE

6. 5. The Intertwining of Sectoral Stock Market Volatility and Macroeconomic Fundamentals - A study of Sweden's sectoral indices

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Jonathan Bark; Melker Lundberg; [2021]
   Keywords : HAR-RV; Stock Sectors; Realized Volatility; Business and Economics;

   Abstract : The stock market has come to play a larger role in many people's lives as years pass and its accessibility has come to be exponentially easier for many. Investment in publicly listed companies has become a foundation of saving and a way of managing wealth for the general public. READ MORE