Essays about: "Mean reversion"

Showing result 1 - 5 of 41 essays containing the words Mean reversion.

  1. 1. CAPM Beta and Geopolitical Risk

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Filip Ternemo; [2022]
    Keywords : Black Swan Investing; CAPM Beta; Excess Returns; Geopolitical Risk; Mean Reversion.; Business and Economics;

    Abstract : Recent years, geopolitical risks have dominated the news feed for the financial markets. There have historically been some geopolitical events that have resulted in major declines in the stock market and such a market day can be classified as a geopolitical Black Swan. READ MORE

  3. 2. A Study of the Relationship Between Mean Reversion and a Black Swan Event

    University essay from Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO)

    Author : Erik Makra; Felix Snaula; [2022]
    Keywords : Mean Reversion; Black Swan; Efficient Market Hypothesis; Behavioural Finance; Dickey-Fuller Unit Root Test;

    Abstract : This study examines the relationship between mean reversion and a black swan event on the Swedish stock market. The data is taken from the Mid Cap and the Large Cap and then compared with the OMXS index. READ MORE

  4. 3. Risk Measurement and Performance Attribution for IRS Portfolios Using a Generalized Optimization Method for Term Structure Estimation

    University essay from Linköpings universitet/Produktionsekonomi

    Author : Fredrik Gerdin Börjesson; Christoffer Eduards; [2021]
    Keywords : Interest rate measurement; term structures; multiple yield curves; principal component analysis; systematic risk; risk factors; term structure simulation; Latin hypercube sampling with dependence; risk measurement; value-at-risk; expected shortfall; interest rate swap; performance attribution;

    Abstract : With the substantial size of the interest rate markets, the importance of accurate pricing, risk measurement and performance attribution can not be understated. However, the models used on the markets often have underlying issues with capturing the market's fundamental behavior. READ MORE

  5. 4. Profitability Prediction Using Macroeconomic Forecasts: The Informativeness of GDP Growth Expectations and Geographic Segment Disclosures

    University essay from Handelshögskolan i Stockholm/Institutionen för redovisning och finansiering

    Author : Gustav Hall; Valter Lindhagen; [2021]
    Keywords : Profitability prediction; Out-of-sample; Return on net operating assets; Macro to micro; Geographic segments;

    Abstract : Many firms today have an international footprint which means that they are exposed to different macroeconomic environments across the world. This Master Thesis investigates the usefulness of macroeconomic forecasts for the prediction of firm profitability. READ MORE

  6. 5. Mechanical investing, man’s best friend or Foolish? : -A study on mechanical investment strategies on the Swedish stock market

    University essay from Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO)

    Author : Max Lundberg; Jakob Åkerlund; [2021]
    Keywords : Mechanical investing; EMH; Modern portfolio theory; Dogs of the Dow; the Foolish Four; Mean reversion; OMXS30; Contrarianism; The penultimate profit prospect; Stock market.;

    Abstract : The aim of this study is to examine classical Dow-strategies, Dogs of the Dow and Foolish Four relative to each other and OMXS30GI in order to test if promises of substantial returns would be kept on the Swedish stock market during the period 2002-2019. Our empirical findings show no statistically significant excess-return generated by the Foolish Four-strategy over neither the Dogs of the Dow-strategy nor OMXS30GI. READ MORE