Essays about: "Stockholm Benchmark index"
Showing result 6 - 10 of 38 essays containing the words Stockholm Benchmark index.
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6. Statistical arbitrage : Can a pairs trading strategy beat a buy-and-hold strategy?
University essay from Uppsala universitet/Statistiska institutionenAbstract : In this thesis, the aim is to investigate whether a pairs trading strategy on Swedish stocks can generate a higher risk-adjusted return compared to a buy-and-hold strategy on a benchmark index. The benchmark index is the OMX Stockholm Benchmark-index (OMXSBPI), which is an index that should reflect the Swedish market in general. READ MORE
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7. Fundamental Indexation Smart Beta Strategy on the Swedish Market- Enhancing risk-adjusted performance with Fundamental Indexation
University essay from Göteborgs universitet/Graduate SchoolAbstract : 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
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8. The index reconstruction effect : An event study on the OMX Stockholm Benchmark Index
University essay from Blekinge Tekniska Högskola/Institutionen för industriell ekonomiAbstract : 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
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9. Nowcasting Private Consumption in Switzerland using a Mixed-Frequency Dynamic Factor Model with High-Frequency Data
University essay from Handelshögskolan i Stockholm/Institutionen för nationalekonomiAbstract : 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
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10. Excess Comovement by Index Events: An Extension to the Swedish Stock Market
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : 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