Essays about: "Multi-factor model"

Showing result 1 - 5 of 35 essays containing the words Multi-factor model.

  1. 1. Measurement of sectoral concentration with multiple factors

    University essay from Uppsala universitet/Statistiska institutionen

    Author : Victor Norrbin; [2022]
    Keywords : Concentration risk; Sector concentration; Credit risk; Time series analysis; Principal component analysis; Monte carlo simulation; Multi-factor model;

    Abstract : One of banks core businesses today is to, in various ways, lend capital to the market and in return receive interest rate. But giving out credit comes with great risk and, therefore, precautions need to be taken. It is impossible to forecast exactly which obligor (borrower) that will default on its exposure. READ MORE

  2. 2. Performance of Small- and Large-cap stock portfolios- The importance of market anomalies across business cycles

    University essay from Göteborgs universitet/Graduate School

    Author : Erik Hulth; [2021-06-30]
    Keywords : Stock performance; Market anomalies; Asset pricing; Portfolio sorting techniques; Factor-portfolio sorting techniques; Value effect; Size effect; Momentum effect; Temporal influences; Business cycles; GDP-gap; Single-and Multi- Factor models; CAPM; Fama-French Three-Factor model; Carhart Four-Factor model; Risk-adjusted equity returns; Sharpe Ratio; Jensen´s alpha; NASDAQ OMX and NYSE;

    Abstract : This Master´s thesis investigated the importance of the market anomalies size (market capitalization), value (Book-to-Market ratio) and momentum (lagged short-term momentum) for equity returns of small- and large-cap composite stock portfolios. The study focused on two contrasting stock markets (NASDAQ OMX and NYSE) across domestic business cycles over the time-period 2006 to 2021. READ MORE

  3. 3. An Empirical Study of Autoencoder Asset Pricing Models and the Impact of Arbitrage Constraints

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Benjamin von Essen; Haohang Wu; [2021]
    Keywords : Empirical asset pricing; Conditional asset pricing model; Machine learning; Arbitrage; Multi-factor model;

    Abstract : Following Gu et al. (2021), we implement a state-of-the-art machine learning asset pricing model, the conditional autoencoder, to capture the time-varying interactions between observable stock characteristics and factor loadings, while simultaneously extracting latent factors from stock returns. READ MORE

  4. 4. Political Risk in Asset Pricing - Evidence from Latin America: An Empirical Study of Brazil, Chile, Colombia, Mexico, and Peru

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Henry Chen; Maximilian Stärk; [2021]
    Keywords : Country risk; Emerging markets; Fama-French; International valuation; Political risk;

    Abstract : Project valuation in emerging markets is an important issue in international business. Practitioners and academics usually suggest adjusting the discount rate with the sovereign yield spread to capture political risk in the valuation. READ MORE

  5. 5. Analysis of differentially expressed genes (DEGs) in neuronal cells from the cerebral cortex of Alzheimer’s disease mouse model

    University essay from Högskolan i Skövde/Institutionen för biovetenskap

    Author : Elnaz Bakhtiyari; [2020]
    Keywords : ;

    Abstract : Alzheimer’s disease (AD) is an aging-related neurodegenerative disorder with large implications for society and individuals. AD is a multi-factor disorder, with these factors having a direct or indirect correlation with each other. READ MORE