Essays about: "Underlying stocks"
Showing result 1 - 5 of 49 essays containing the words Underlying stocks.
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1. Can a modern value definition save a struggling investment strategy? A study on the performance of the F-Score when adjusting book-to-market equity for intangibles
University essay from Handelshögskolan i Stockholm/Institutionen för redovisning och finansieringAbstract : Studies have found that the immediate expensing of intangible investments has understated the book-to-market metric, which has caused a substantial misclassification of value and glamor stocks in the new economy. This has coincided with a deteriorating performance of Piotroski's F-score, which aims to identify winning stocks among the value group by considering financial signals relevant to these stocks. READ MORE
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2. Option Expiration Day Impact on Underlying Stock Return- A Study on the Swedish Option Market
University essay from Lunds universitet/Företagsekonomiska institutionenAbstract : Research questions: Is there significant change in the stock return on option expiration dates in the underlying stock? Does the net open interest have an effect on the return of the underlying stock on option expiration day? Purpose: The purpose of the bachelor's thesis is to study whether there is a significant difference in the stock returns on option expiration dates in relation to the net open interest of the underlying stocks within the OMXS30 index. Methodology: A quantitative study using a deductive approach to statistically describe the relationship between the daily stock return with open interest and traded volume. READ MORE
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3. Investigating the Performance of Random Forest Classification for Stock Trading
University essay from KTH/Skolan för teknikvetenskap (SCI)Abstract : We show that with the implementation presented in this paper, the Random Forest Classification model was able to predict whether or not a stock was going to increase in value during the coming day with an accuracy higher than 50\% for all stocks included in this study. Furthermore, we show that the active trading strategy presented in this paper generated higher returns and higher risk-adjusted returns than the passive investment in the stocks underlying the strategy. READ MORE
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4. Does the bond market fully reflect the value of intangibles?
University essay from Handelshögskolan i Stockholm/Institutionen för redovisning och finansieringAbstract : This paper examines how the bond market reflects the value of an intangible, more specifically the value of employee satisfaction. Prior research has found support for a mispricing of information on employee satisfaction in the equity market. READ MORE
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5. Examining the Existence of the Characteristic Liquidity Premium: A Study of the U.S. Stock Market
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : This paper examines the existence of a characteristic liquidity premium among U.S. stock returns between January 1964 and December 2021 after adjusting for transaction costs. Liquidity is estimated using four different measures in order to capture different dimensions of liquidity (price impact, trading cost, trading speed, and trading quantity). READ MORE
