Essays about: "Stockholm Stock Exchange"

Showing result 1 - 5 of 276 essays containing the words Stockholm Stock Exchange.

  1. 1. Arbitrage Pricing Theory: A study on the Stockholm Stock

    University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Author : Richard Johansson; Pierre Petersson; [2019-03-01]
    Keywords : Arbitrage Pricing Theory; APT; Stockholm Stock Exchange; Macroeconomic Factors; Multi Factor Model;

    Abstract : This thesis investigates the macroeconomic factors that affect the returns on the different portfolios in Stockholm Stock Exchange by using Arbitrage Pricing Theory (Stephen Ross 1976). We use the portfolios of Large Cap, Mid Cap, Small Cap, and All Caps. Specifically, multiple index model is used. The sample period is 2012-2017. READ MORE

  2. 2. 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

  3. 3. 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

  4. 4. MODELING CAPITAL ASSET RETURNS ON THE SWEDISH STOCK MARKET - An evaluation of Fama French’s Five Factor Model against its predecessors

    University essay from Lunds universitet/Statistiska institutionen

    Author : Kristoffer Bergram; Ludvig Göransson; [2019]
    Keywords : asset pricing modeling; time series regression; statistics; Fama French Five Factor model; Carhart Four Factor model; Fama French Three Factor model; Swedish stock market; portfolio theory; behavioral economics; Mathematics and Statistics; Business and Economics;

    Abstract : This thesis compared the explanatory rate of three asset pricing models related to excess returns on the Swedish stock market. A more granular evaluation of each model’s factors was also conducted. A random sample of 90 companies was drawn from the Stockholm Stock Exchange (N = 371) using a Blomberg terminal. READ MORE

  5. 5. Insider timing on the Stockholm Stock Exchange : A study of short-term cumulative returns prior to mid-cap CEOs’ transactions in their own firm

    University essay from Uppsala universitet/Företagsekonomiska institutionen; Uppsala universitet/Företagsekonomiska institutionen

    Author : Stephen Maconi; Alexander Singer; [2019]
    Keywords : insiders; insider transactions; transaction timing; managerial timing; abnormal returns;

    Abstract : This paper investigates how CEOs in public Swedish mid-cap corporations time their transactions in their own company’s stock in a short-term perspective. To investigate this, an event study methodology is employed on cumulative returns surrounding these insiders’ transactions, both absolute and relative to the market. READ MORE