Essays about: "Multi-factor models"

Showing result 16 - 20 of 20 essays containing the words Multi-factor models.

  1. 16. A Study of Corporate Bond Returns - using Sharpe-Lintner CAPM and Fama & French

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

    Author : David Johansson; Tobias Lundgren; [2012]
    Keywords : CAPM; Fama French; Corporate Bond; Return; Systematic Risk;

    Abstract : The aim of this thesis was to better understand corporate bond returns. Regression analysis for a sample of 937 listed USD-denominated corporate bonds of both investment grade and non-investment grade was conducted using two models. READ MORE

  3. 17. Performance of Hedge Funds in the European Market

    University essay from Lunds universitet/Företagsekonomiska institutionen

    Author : Amanda Kolobaric; Parisa Khatabakhsh; [2012]
    Keywords : Hedge funds; asset pricing models; Multi-factor model; investment strategies; performance measures.; Business and Economics;

    Abstract : The aim of this paper is to investigate the performance of hedge funds during the period between December 1999 and March 2012. We consider 8 different investment styles for the European market. As it has been argued in several papers hedge funds differ from traditional funds, since it allows for diversification and lower systematic risk. READ MORE

  4. 18. A quantitative analysis of Nordic hedge fund performance during changing market conditions

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Nadja Zakharova; Olga Andersen; [2011]
    Keywords : abnormal return; multi-factor model; investment style; disturbed market conditions; performance persistence; Business and Economics;

    Abstract : In this paper we investigate the performance of Nordic hedge funds in terms of their ability to earn abnormal returns during the period 2003-2011. We further test for the presence of short-term persistence during the period of disturbed market conditions. READ MORE

  5. 19. Multi-factor Stochastic Volatility Models: A practical approach

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Filip Andersson; Niklas Westermark; [2009]
    Keywords : option pricing; stochastic volatility; multi-factor;

    Abstract : Since the legendary Black-Scholes (1973) model was presented, both academics and practitioners have made efforts to relax its assumptions and generate option pricing models that allow for non-normal return distributions and non-constant volatility. In this thesis, we examine the performance of four structural models ranging from the single-factor stochastic volatility model of Heston (1993) to a two-factor stochastic volatility model allowing for log-normally distributed jumps in the stock return process. READ MORE

  6. 20. Do the Nice Guys Go Home Empty Handed?

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Marcus Olsson; [2006]
    Keywords : CAPM; Sin Stocks; Multi-factor models; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

    Abstract : The aim of this study is twofold. First, the performance of sin stocks in the United States is analyzed. As performance measure I use Jensen’s alpha in a single- and multifactor framework. READ MORE