Essays about: "Stockholm Benchmark index"

Showing result 1 - 5 of 32 essays containing the words Stockholm Benchmark index.

  1. 1. Fundamental Indexation Smart Beta Strategy on the Swedish Market- Enhancing risk-adjusted performance with Fundamental Indexation

    University essay from Göteborgs universitet/Graduate School

    Author : Tommy Saliba; Philip Thulin; [2021-06-30]
    Keywords : Smart Beta; Fundamental Indexation; CAPM; EMH; Value; Quality; Momentum; Low Volatility; Factor Investing;

    Abstract : Smart Beta strategies’ ability to combine the benefits of active- and passive investing has caught the attention of the Asset Management industry – propelling a surge in new Smart Beta products. These strategies offer a novel approach to factor investing by not weighting assets according to the typical cap-weighting scheme, instead applying weighting methods such as fundamental indexation, yielding a new dimension to factor-oriented strategies. READ MORE

  2. 2. The index reconstruction effect : An event study on the OMX Stockholm Benchmark Index

    University essay from Blekinge Tekniska Högskola/Institutionen för industriell ekonomi

    Author : Love Askeljung; [2021]
    Keywords : Price effect; index revision; Stockholm Benchmark Index; stocks; Priseffekt; indexrekonstruering; Stockholm Benchmark index; Aktier;

    Abstract : Background. Due to prevailing technological development, telecommunication and computers have become very advanced. This has had a tremendous effect on the financial markets as well, various facilitating financial means have become much more common. READ MORE

  3. 3. Nowcasting Private Consumption in Switzerland using a Mixed-Frequency Dynamic Factor Model with High-Frequency Data

    University essay from Handelshögskolan i Stockholm/Institutionen för nationalekonomi

    Author : Marius Koechlin; [2021]
    Keywords : Nowcasting; Private consumption; Dynamic factor mode; Mixed-frequency data; Kalman filter;

    Abstract : Various empirical papers have provided evidence that dynamic factor models and the use of high- and mixed-frequency data yield good estimates for nowcasts. This thesis uses the dynamic factor model framework of Giannone et al. (2008) with daily, weekly, and monthly data to nowcast private consumption in Switzerland. READ MORE

  4. 4. Excess Comovement by Index Events: An Extension to the Swedish Stock Market

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Hampus Adebäck; Eric Schagerlund; [2020]
    Keywords : Excess comovement; Index effect; Momentum; Matching stocks; OMXSB;

    Abstract : Using momentum and fundamental changes as control variables for stocks subject to index events have shown to disprove previous evidence of excess comovement (Chen et al, 2016, Kasch and Sarkar, 2014, Von Drathen, 2014). This thesis examines if the control variables disprove excess comovement, to the same extent, when examining an index on another stock market outside the U. READ MORE

  5. 5. Downside deviation as a measure of identifying underperforming assets

    University essay from KTH/Skolan för teknikvetenskap (SCI)

    Author : Alfred Askeljung; Andreas Möller; [2020]
    Keywords : ;

    Abstract : Quantitative approaches to achieving excess return are becoming increasingly popular as computational capabilities increase. Today, the main issue at hand is the development of accurate and reliable models for predicting the return of individual instruments. READ MORE