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Showing result 21 - 25 of 59 essays matching the above criteria.

  1. 21. The predictive power of stock style: size, value-growth orientation and the shape of the future return distribution

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Eoin Gallagher; Dmitry Tanazhko; [2019]
    Keywords : Return predictability; Stock size; Stock valuation; Skewness; Morningstar;

    Abstract : While there has been extensive research trying to explain the variability in the cross-section of expected stock returns, the predictability of other shape characteristics of the future return distribution is a less studied subject. This thesis investigates the relationship between the size and value-growth orientation of stocks (as measured according to Morningstar) and the shape parameters of their future returns. READ MORE

  3. 22. Forecasting Volatility on Swedish Stock Returns : A study comparing the performance of different volatility forecasting models

    University essay from Umeå universitet/Nationalekonomi

    Author : Emil Collin; [2019]
    Keywords : ;

    Abstract : This study aims to find the model which generates the best volatility forecasts of single stock returns on the Swedish Market. The models are estimated using an in-sample dataset of daily observations from 2010.01.01 to 2018. READ MORE

  4. 23. Univariate GARCH models with realized variance

    University essay from Uppsala universitet/Statistiska institutionen

    Author : Carl Börjesson; Ossian Löhnn; [2019]
    Keywords : GARCH; EGARCH; GJRGARCH; external regressor; realized variance; volatility; Value at Risk; nig; Normal inverse gaussian; std; Student’s t distribution; norm; Normal distribution; rugarch; rolling forecast;

    Abstract : This essay investigates how realized variance affects the GARCH-models (GARCH, EGARCH, GJRGARCH) when added as an external regressor. The GARCH models are estimated with three different distributions; Normal-, Student’s t- and Normal inverse gaussian distribution. READ MORE

  5. 24. The Effect of ESG Performance on Share Price Volatility

    University essay from Umeå universitet/Företagsekonomi

    Author : Robin Jari Mattias Jakobsson; Leo Lundberg; [2018]
    Keywords : ESG; CSR; corporate social responsibility; total risk; financial risk; idiosyncratic risk; volatility.;

    Abstract : Environmental, Social, and Governance (ESG) investing is growing rapidly. Previous research in the area, has mostly been centered around ESG/CSR and its link to corporate financial performance, cost of capital and idiosyncratic risk. READ MORE

  6. 25. Volatility Forecasting An Empirical Study on Bitcoin Using Garch and Stochastic Volatility models

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Hugo Hultman; [2018]
    Keywords : Volatility forecasting; Stochastic volatility; GARCH; Bitcoin; Business and Economics;

    Abstract : Cryptocurrencies are on the rise, with new financial assets, new frameworks need to be developed. This thesis sets out to the examine the GARCH(1,1), the bivariate-BEKK(1,1), and the Standard stochastic volatility model’s volatility forecasting performance on BTC/USD, where the bivariate model is estimated on both BTC/USD and ETH/USD closing price data. READ MORE