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Showing result 1 - 5 of 193 essays matching the above criteria.

1. 1. Network Connectedness in Financial Markets

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Andrea Marcolini; [2024]
   Keywords : Systemic risk modeling; US REITs connectedness; S P 500 connectedness; Returns and realized volatilities prediction;

   Abstract : This paper is a collection of two different theses discussing the prediction of the returns and volatilities of the S&P 500 constituents and of US Real Estate Investment Trusts (REITs) by analyzing their centrality within the financial market network. Both empirical works summarize the relevant financial and network literature, demonstrating how modeling stock connectedness within financial markets makes it possible to create returns and volatility predictors, improving investors' portfolio allocations and achieved investment Sharpe ratios. READ MORE

3. 2. Beyond Profits: Exploring the Investment Styles and Risk-Adjusted Returns of ESG-Driven Portfolios

   University essay from

   Author : Alexander Olsson; Jonathan Taimory; [2023-07-06]
   Keywords : Risk-adjusted Returns; Investment Styles; Environmental; Social and Governance ESG ;

   Abstract : This study uses daily data to examine how different ESG implementations affect performance and portfolio characteristics. With a non-homogenous view of how ESG investing is defined, ten different value-weighted portfolios are constructed. The geographical focus is the US market, with the S&P 500 total return index (SPXTR) as the screening universe. READ MORE

4. 3. An Empirical Study of Monetary Policy Transmission Through Floating Rate Corporate Debt

   University essay from Göteborgs universitet/Graduate School

   Author : BEHZAD JAWAN BAKHSH; DENNIS MUTISO MULI; [2023-06-29]
   Keywords : Monetary policy surprise; Monetary policy transmission; Cash flow channel; Fed; Federal Open Market Committee; Forward guidance; SEC filings; Hedging; Bank Debt; Floating rate debt;

   Abstract : Considering the contemporary shift in the interest rate regime and the high levels of corporate debt in the US market, we show that monetary policy surprises have an impact on stock returns. This impact is dominated by a surprise in Fed forward guidance. READ MORE

5. 4. Correlation and causality between the S&P 500 and Bitcoin: A comparative study before and during the COVID-19 pandemic

   University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

   Author : Jalmar Andersson; Kevin Fankl; [2023-06-29]
   Keywords : S P 500; Bitcoin; Cryptocurrency; Pearson s correlation coefficient; Granger causality test; Covid-19; Stock market;

   Abstract : This undergraduate dissertation examines the correlation and causality between the S&P 500 and Bitcoin, both prior to and amidst the COVID-19 pandemic. The objective of this research is to offer novel perspectives on the interaction between these two financial instruments during the unprecedented economic instability triggered by the pandemic and to assess how their association has evolved throughout this time. READ MORE

6. 5. Is Bitcoin a Safe Haven?

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : William Stockfors; [2023]
   Keywords : Cointegration Bitcoin S P 500 Safe Haven; Business and Economics;

   Abstract : The objective of this bachelor thesis is to assess the safe haven property of Bitcoin by conducting an augmented Dickey-Fuller test and Engle and Granger cointegration test with price data from the COVID-19 crash. The analysis revealed a cointegration relationship between Bitcoin and the S&P 500, indicating a long-run equilibrium between the two and thus providing evidence against the safe haven property. READ MORE