Essays about: "beta return"
Showing result 21 - 25 of 55 essays containing the words beta return.
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21. Real Optionality in Gold Operations. An investigation of Gold Exposure, Asymmetries and Excess Returns
University essay from Göteborgs universitet/Graduate SchoolAbstract : This thesis examines the gold beta exposure and the usage of real options for 52 listed gold companies in North America between 1997 and 2014. Building on prior research we develop a model that includes a larger set of control variables, this model show that earlier research has su ered from underspeci cation leading to biases. READ MORE
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22. Smart Beta - index weighting
University essay from KTH/Matematisk statistikAbstract : This study is a thesis ending a 120 credit masters program in Mathematics with specialization Financial Mathematics and Mathematical Statistics at the Royal Institute of Technology (KTH). The subject of Smart beta is defined and studied in an index fund context. READ MORE
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23. Portfolio Bias of Real Estate Companies Vs. Financial Markets
University essay from KTH/Fastigheter och byggandeAbstract : This study will apply the Capital Asset Pricing Model (CAPM) to help understand the relationship between traded real estate companies and their respective financial markets. The aim will be to quantitatively explain the link between real estate companies holding different asset types within their portfolio and their traded financial markets using betas from CAPM. READ MORE
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24. Fund Flow Risk and Cross-Sectional Asset Prices
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : This paper documents that stocks whose historical excess returns have comoved more with mutual fund flows-have a higher fund flow beta (FFB)-earn higher future excess returns than otherwise similar stocks. We propose two hypotheses to explain this finding: First, funds may hedge the variance in their AUM by underweighing stocks with a high FFB, hence reducing the price of those stocks in equilibrium. READ MORE
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25. Is the Risk-Return Tradeoff Hypothesis valid: Should an Investor hold Growth Stocks rather than Value Stocks?
University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistikAbstract : This paper will examine if smaller companies outperform large ones in the backwashes of the crisis, i.e. if growth stocks are better off than value stocks when investing. I will investigate how well the three largest companies from Nasdaq OMX’s small cap, mid cap and large cap managed to perform compared to the market index OMXSPI. READ MORE