Essays about: "Return predictability"
Showing result 16 - 20 of 57 essays containing the words Return predictability.
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16. Machine Learning - The Future of Equity Premium Prediction
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : Predictions of the equity premium have historically been made by using traditional predictive regressions. Despite the great promise of machine learning applications for prediction tasks, it has largely been overlooked in the financial literature. READ MORE
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17. VALUE-AT-RISK ESTIMATION USING GARCH MODELS FOR THE CHINESE MAINLAND STOCK MARKET
University essay from Uppsala universitet/Statistiska institutionenAbstract : With the acceleration of economic globalization, the immature Chinese mainland stock market is gradually associated with the stock markets of other countries. This paper predict the return rate of Chinese mainland stock market using several models from GARCH family, test the predictability by calculating Value-at-Risk, also capture the dynamic correlation between other fifive countries or region and mainland China by DCC-GARCH model. READ MORE
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18. The Implied Volatility Skew of Single Stock Options and the Predictability of Jumps - Robustness Analysis
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : In this thesis, we try to understand whether the observed implied volatility skew of single stock options is significantly related to the probability of observing future return jumps in the underlying single stock. In particular, our main aim is to verify whether the skew-jump relationship persists during normal periods without any pre-scheduled information disclosure event or it is confined to earnings announcement periods. READ MORE
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19. Maximum Predictability Portfolio Optimization
University essay from KTH/Matematik (Avd.)Abstract : Harry Markowitz work in the 50’s spring-boarded modernportfolio theory. It gives investors quantitative tools to compose and assessasset portfolios in a systematic fashion. The main idea of the Mean-Varianceframework is that composing an optimal portfolio is equivalent to solving aquadratic optimization problem. READ MORE
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20. 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 ekonomiAbstract : 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
