Essays about: "asset pricing"

Showing result 21 - 25 of 328 essays containing the words asset pricing.

1. 21. Navigating through Economic storms - A comparative analysis of stock market responses to recent European recessions

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Agnes Jahn; Amanda Rashid; [2023]
   Keywords : Business cycles; Stock market; Price Dividend Ratio; Recession Variance Ratio; Swedish Stock market;

   Abstract : The study investigates the interplay between stock market behaviour and recessions in the Northern and Western European area, focusing on data from three different recessions in five countries since 1986. First, unadjusted stock prices show some predictive power in anticipating financial crises, while time-aggregated stock prices do not. READ MORE

3. 22. Quantifying the Impact of EU-US "Distressed" Financial Market Integration on European Credit Supply

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Ioannis Tzoumas; [2023]
   Keywords : ΔCoVaR; Loans; Credit; Risk; Integration; Business and Economics;

   Abstract : This paper proposes a new method for quantifying financial integration by adapting Adrian & Brunnermeier (2016)’s ΔCoVaR to conform with standard asset pricing literature (Lewellen & Nagel 2006, Cochrane 2009). We reconcile ΔCoVaR with standard microeconomic theory (Waller & Lewarne 1994) and test for causal relationships with respect to the contagion of US acute financial shocks to the EU’s loan supply. READ MORE

4. 23. Green Minus Brown: A Comparative Analysis of the Financial Performance of the ESG Factor

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Kevin Pettersson; Wael Makdessinaoum; [2023]
   Keywords : Sustainable Investing; ESG; Asset Pricing Models; ESG Ratings;

   Abstract : This thesis investigates the performance of a Green-minus-Brown portfolio in the US public stock market and whether the GMB portfolio provides significant results for investors. The study also aims to investigate if the returns of the GMB portfolio are already explained by other existing factors. The research collected data from 2003 to 2022. READ MORE

5. 24. How Do Unexpected Changes in Interest Rates Explain the Variation of Excess Return: Testing an Extended Fama–French Five-Factor Model on the Swedish Stock Market

   University essay from KTH/Skolan för industriell teknik och management (ITM)

   Author : Telo Johar; [2023]
   Keywords : Fama-French five-factor model; excess return; Swedish stock market; Fama-French five-factor model; överavkastning; svenska aktiemarknaden;

   Abstract : In the realm of asset pricing models, the Fama-French five-factor model has become a foundational framework for explaining the variation of excess stock returns. However, as financial markets continue to evolve, there arises a need to explore potential extensions to capture additional sources of risk and return. READ MORE

6. 25. Stochastic Runge–Kutta Lawson Schemes for European and Asian Call Options Under the Heston Model

   University essay from Mälardalens universitet/Akademin för utbildning, kultur och kommunikation

   Author : Nicolas Kuiper; Martin Westberg; [2023]
   Keywords : Runge–Kutta Lawson scheme; Heston model; Black–Scholes model; Stochastic Differential Equation; Euler–Maruyama scheme; Midpoint scheme; Monte Carlo; European Options; Asian Options; Option pricing.;

   Abstract : This thesis investigated Stochastic Runge–Kutta Lawson (SRKL) schemes and their application to the Heston model. Two distinct SRKL discretization methods were used to simulate a single asset’s dynamics under the Heston model, notably the Euler–Maruyama and Midpoint schemes. READ MORE