Essays about: "Price pressure hypothesis"
Showing result 6 - 10 of 15 essays containing the words Price pressure hypothesis.
-
6. Equity Mutual Fund Flows and Benchmark Portfolios in Sweden
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : The purpose of our study is to investigate the effect of net flows to mutual funds by isolating the effects of active managed funds and index linked funds on benchmark portfolio returns. We consider factors that cause demand driven price impacts on stocks. READ MORE
-
7. Investigating the Price and Volume Effect following Changes on OMX Nordic Indices
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : In the last decade, there has been a substantial shift from actively managed funds to funds with passive investment strategies. This shift was also observed by Shleifer (1986), who identified that passive investment funds began to significantly increase their ownership of the S&P 500 in the period between 1975 and 1983. READ MORE
-
8. Price Impact Correlation Between Buy-/Sell-Pressure in the Stock Market and Subsequent Price Changes
University essay from Lunds universitet/Matematisk statistikAbstract : In this thesis, the correlation between aggregated buy-/sell-pressure and price change is analyzed, something often referred to as price impact. The purpose is not only to find a model that can explain how prices change given a certain traded volume, but also to see how much of the variance in price changes results from the actual buy- or sell-pressure. READ MORE
-
9. Fund Flow Risk and Cross-Sectional Asset Prices
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : This paper documents that stocks whose historical excess returns have comoved more with mutual fund flows-have a higher fund flow beta (FFB)-earn higher future excess returns than otherwise similar stocks. We propose two hypotheses to explain this finding: First, funds may hedge the variance in their AUM by underweighing stocks with a high FFB, hence reducing the price of those stocks in equilibrium. READ MORE
-
10. Success facotrs for the adoption of bio based packaging
University essay from KTH/Industriell ekonomi och organisation (Inst.)Abstract : This paper is written as a contribution towards a sustainable society in the context of bio-basedpackaging. A few decades back, the world was looking for processes that were efficient in termsof output and quality, but now the situation has changed. READ MORE
