Essays about: "benchmark indices"

Showing result 1 - 5 of 31 essays containing the words benchmark indices.

  1. 1. The Effects of Macroeconomic Factors on the Shares of Automotive Manufacturers in the USA, Asia, and Europe in the Short and Long Run

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Filip Dyankov; [2022]
    Keywords : macroeconomic factors; stock returns; VAR; ARDL; Business and Economics;

    Abstract : This study aims to broaden the remits of the relatively scant hitherto literature focused on the impact of the changes in macroeconomic indicators on automotive stock returns. Since a considerable fraction of previous empirical research covered multiple industries, historical results may not be directly transferable for the purposes of the analysis of the automotive industry. READ MORE

  3. 2. ETF Cost Obfuscation

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Ole Holte; Hans-Kristian Leite; [2022]
    Keywords : Exchange Traded Funds; Expense Ratios; Tracking Errors; Index Investing; Asset Management;

    Abstract : Index-tracking ETFs have gained popularity by both retail and institutional investors over the past years while costs in the form of fees have declined due to competitive pressures. Index-tracking funds are relatively homogenous products with only the goal of replicating an index as close as possible. READ MORE

  4. 3. Decomposition of ETFs: Building a synthetic portfolio of ETFs major positions

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Donatas Gadlijauskas; Evelina Sarul; [2022]
    Keywords : ETF; Portfolio optimization; Sharpe ratio; VaR; GARCH; Business and Economics;

    Abstract : This paper investigates the performance of benchmark indices and according ETFs against the synthetic portfolios that were built using the five major holdings of the selected benchmark index and its ETF. Not only do we test the synthetic portfolios, but from them, we make optimal (re-balanced) portfolios using mean-variance optimization (with short-selling constraints). READ MORE

  5. 4. How do ESG assets relate to the financial market? : A Diebold-Yilmaz spillover approach to sustainable finance

    University essay from Linköpings universitet/Nationalekonomi; Linköpings universitet/Filosofiska fakulteten

    Author : Shobair Moosawi; Ludvig Segerhammar; [2022]
    Keywords : AR 1 -GARCH p; q ; Commodity; ESG; Equity; Return; Spillover; Sustainability; Sustainable finance; Volatility;

    Abstract : The purpose of this master’s thesis is to investigate to what extent ESG assets and traditional benchmarks affect one another. Since sustainable investment is a growing segment of the financial market, investors need to be informed about how it may affect their portfolios, and by extension if it can be used for portfolio diversification. READ MORE

  6. 5. Using Machine Learning to Predict Aggregate Excess Returns

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Erik Jonsson; Sebastian Gierlowski Carling; [2021]
    Keywords : Equity premium; Machine learning; Non-linear models; Penalized linear models; Prediction;

    Abstract : In this paper we examine whether standard linear regression and machine learning tools can be used to predict the time series of total returns in excess of the risk-free rate on the S&P500 and FTSE100 indices. We have virtually no success in predicting monthly returns. However, we do have some success in predicting annual returns. READ MORE