Essays about: "Models of asset pricing"

Showing result 1 - 5 of 142 essays containing the words Models of asset pricing.

  1. 1. Unveiling the Impact of ESG Ratings on Risk-Adjusted Returns : Evidence from European Companies

    University essay from Uppsala universitet/Företagsekonomiska institutionen

    Author : David Melin; Otta Alexander; [2023]
    Keywords : ESG; Sustainability; Risk-adjusted return; Risk factor; Factor model; Portfolio; Europe;

    Abstract : This study uses a sample of 600 companies from Europe to investigate the risk-adjusted returns of four portfolios with high and low ESG ratings between 2011 and 2021. Four asset pricing models and additional measures for risk and return are tested on different portfolio weights. READ MORE

  3. 2. An Attempt at Pricing Zero-Coupon Bonds under the Vasicek Model with a Mean Reverting Stochastic Volatility Factor

    University essay from KTH/Matematik (Avd.)

    Author : Benjamin Neander; Victor Mattson; [2023]
    Keywords : Zero-coupon bond; Vasicek model; Two-factor interest rate model; Stochastic volatility.; Nollkupongobligation; Vasicek model; Räntemodell med två faktorer; Stokastisk volatilitet.;

    Abstract : Empirical evidence indicates that the volatility in asset prices is not constant, but varies over time. However, many simple models for asset pricing rest on an assumption of constancy. READ MORE

  4. 3. There Is Nothing Certain But The Uncertain

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Hannes Thorstensson; Carl Tjernberg; [2023]
    Keywords : Uncertainty; Vol-of-vol; Ambiguity; Asset Pricing; Business and Economics;

    Abstract : Risk and risk aversion are crucial concepts in finance. Models in finance typically assume a known probability distribution of returns, which does often not hold in reality. This papers aims to measure the uncertainty surrounding the probability distribution in equity markets and to evaluate if such uncertainty is priced. READ MORE

  5. 4. Empirical Asset Pricing via Machine Learning - Evidence from the Chinese stock market

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Bao Liu; Chuyue Huan; [2023]
    Keywords : Machine learning; Asset pricing model; Chinese stock market;

    Abstract : This thesis builds upon existing research on the application of machine learning in asset pricing in the US and European stock markets, by incorporating unique predictive indicators specific to the Chinese stock market, to explore whether machine learning can also be successfully applied in the Chinese stock market. Empirical results show that machine learning models outperform OLS significantly in predicting A-share returns, and this conclusion also applies to different portfolios we have constructed. READ MORE

  6. 5. Asset Pricing in Different Periods of Stock Market Volatility : The Varied Effectiveness of Carhart's Four-Factor Model in the Swedish Market

    University essay from Umeå universitet/Företagsekonomi

    Author : Robin Munkhammar; Svensson Hampus; [2023]
    Keywords : Capital Asset Pricing Models; Carhart Four-Factor Model; Swedish Stock Market Volatility;

    Abstract : Investing in the Swedish stock market has over time proven to be an effective way to increase wealth. Nationally speaking, Sweden’s population is also one of the best in the world at investing their savings. Four out of five swedes invest at least some part of their private savings into mutual funds which approximately amounts to 8. READ MORE