Essays about: "Risk"

Showing result 1 - 5 of 6788 essays containing the word Risk.

  1. 1. Financial Performance of Firms with Low Respectively High ESG Scores - A study of the US Technology sector

    University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Author : Hanna Lindbo; Diana Salim; [2019-02-21]
    Keywords : ESG; Technology sector; Risk-adjusted return; Sharpe Ratio;

    Abstract : This study investigates the relationship between financial performance and ESG score over a five-year time period, January 2013 to January 2018, in the US market. To examine this, two small cap portfolios is constructed, one consisting of firms with high ESG scores and one with low ESG scores. READ MORE

  2. 2. Performance Evaluation of Small- and Large-cap stocks - The importance of size effects on the Swedish equity market

    University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Author : Andreas Carlsson; Erik Hulth; [2019-02-20]
    Keywords : Performance Evaluation; Asset pricing; Size Effect; Sharpe Ratio; Treynor ratio; Jensen´s alpha; Risk-Adjusted Returns; Fama-French Three-Factor Model; Carhart Four-Factor Model; Multi-factor models; Single-factor model;

    Abstract : This Bachelor´s thesis investigated the performance of small-cap stocks and large-cap stocks on the Swedish equity market (NASDAQ OMX) over the years 2011 to 2016. A number of studies focused on asset pricing have during the last decades indicated that the original Capital Asset Pricing Model (CAPM) is misspecified and has limited power to explain cross-sectional and temporal variations in expected equity returns. READ MORE

  3. 3. Political Risk & Capital Flight - Case Study of the Ukrainian Crisis

    University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Author : Christian Gray; Saud Talic; [2019-02-15]
    Keywords : Capital flight; political risk; Ukrainian crisis; balance-of-payments; Crimea; Donbass war; revolution;

    Abstract : This paper examines the economic impact several events of political risk have on components of capital flight Ukraine and capital flight of Ukraine itself. The events of political risk are the Euromaidan revolution, the Russian annexation of Crimea and the war in the region of Donbass. READ MORE

  4. 4. Volatility forecasting using the GARCH framework on the OMXS30 and MIB30 stock indices

    University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Author : Peter Johansson; [2019-01-22]
    Keywords : Volatility forecasting; Random Walk; Moving Average; Exponentially Weighted Moving Average; GARCH; EGARCH; GJR-GARCH; APGARCH; volatility model valuation; regression; information criterion;

    Abstract : There are many models on the market that claim to predict changes in financial assets as stocks on the Stockholm stock exchange (OMXS30) and the Milano stock exchange index (MIB30). Which of these models gives the best forecasts for further risk management purposes for the period 31st of October 2003 to 30th of December 2008? Is the GARCH framework more successful in forecasting volatility than more simple models as the Random Walk, Moving Average or the Exponentially Weighted Moving Average?The purpose of this study is to find and investigate different volatility forecasting models and especially GARCH models that have been developed during the years. READ MORE

  5. 5. Value at Risk and Expected Shortfall risk measures using Extreme Value Theory

    University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Author : Peter Johansson; [2019-01-22]
    Keywords : Extreme Value Theory; Generalized Pareto Distribution; Point-Over-Threshold method; risk measures; Value at Risk; Expected Shortfall;

    Abstract : Calculating risk measures as Value at Risk (VaR) and Expected Shortfall (ES) has become popular for institutions and agents in financial markets. A main drawback with these risk measures is that they traditionally assume a specific distribution, as the Normal distribution or the Student’s t distribution. READ MORE