Essays about: "beta and return"

Showing result 1 - 5 of 55 essays containing the words beta and return.

  1. 1. By Vice or Virtue: Does it Pay Off to Sin During Market Downturns?

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : William Sandell; Albin Lindgren; [2021]
    Keywords : Sin stocks; Socially responsible investing; Recession resistance; Alpha; Beta; Business and Economics;

    Abstract : This paper investigates sin stock characteristics through relative return performance compared to the global market index MSCI World, defining stock defensiveness towards market movements (i.e. recession resistance) and abnormal amounts of excess returns. READ MORE

  3. 2. The Momentum Premium: An Intermediary Asset Pricing Perspective

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Simon Eliasson; David Öhlund; [2021]
    Keywords : Momentum; Intermediary Asset Pricing; Time-Varying Risk;

    Abstract : We attempt to explain the momentum premium using time-varying risk under the frictions of financial intermediation. Our conditional CAPM model reveals positive covariation between momentum's beta and the expected market risk premium. READ MORE

  4. 3. Differences in risk-adjusted return between conventional and sustainable funds : a study of the swedish fund market

    University essay from SLU/Dept. of Economics

    Author : Adrian Michaelsson; Edward Svensson; [2021]
    Keywords : Wavelet Coherence Analysis; risk-adjusted return; sustainable funds; conventional funds; ESG; COVID-19;

    Abstract : Sustainable investments have received increased interest all over the world amongst institutional and private investors. The number of funds investing in securities according to their ESG characteristics is a constantly growing part of the market. READ MORE

  5. 4. MSCI Climate Paris Aligned Indices : A quantitative study comparing the performance of SR indices and their conventional benchmark indices

    University essay from Umeå universitet/Företagsekonomi

    Author : Linnéa Casselryd; Agnes Lantto; Alicia Julienne Zanic; [2021]
    Keywords : MSCI Climate Paris Aligned Indices; Socially Responsible Investments; Sustainable Indices; Performance; Beta; Sharpe Ratio; Jensen´s Alpha; Spanning Test; Ordinary Least Squares;

    Abstract : There is no clear consensus about whether green investments perform better, worse orequal to conventional brown investments. With the rising popularity of socialinvestments, it becomes increasingly important to understand these investments. READ MORE

  6. 5. An Investment Approach Built on Systematic Risk : A performance analysis based on the characteristics of defensive and cyclical sectors on the Swedish stock market.

    University essay from Jönköping University/IHH, Nationalekonomi

    Author : Pontus Bardh; Jacob Haglund; [2021]
    Keywords : Defensive; Cyclical; Sectors; CAPM; Beta; Systematic risk; Alpha; Sharpe ratio; Performance; Stock market;

    Abstract : This thesis investigates and compares the performance and characteristics of defensive and cyclical sectors on the Swedish stock market during 2003-2020 and the financial crisis in2007-2008, taking monthly price developments from nine sectors. The purpose is to examine the differences in sector performances based on the estimations of systematic risk. READ MORE