Essays about: "excess equity"

Showing result 1 - 5 of 73 essays containing the words excess equity.

  1. 1. Examining the Impact of Football Tournaments on Equity Markets: An Analysis of Market Anomalies, Market Dynamics and Investor sentiment

    University essay from

    Author : Oskar Edgren; Josef Johansson; [2023-07-06]
    Keywords : ;

    Abstract : This paper investigates whether two international football tournaments have an effect on the performance of four major stock markets during the event period. Some previous literature suggest that the NYSE index tended to fall during every World Cup between 1950 and 2007 due to negative investor sentiment associated with losing and being knocked out of the tournament. READ MORE

  3. 2. The Sustainable Era - The Excess Return on Swedish Sustainable Global Equity Funds

    University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Author : Kristoffer Holmgren; Måns Hurtigh; [2023-07-03]
    Keywords : Fama-French; ESG; Morningstar; Morningstar Globe Rating; funds; global equity funds; sustainability; excess return;

    Abstract : This thesis explores the relationship between the performance of Swedish global equity funds and the level of sustainability, as measured by the Morningstar Globe Rating, using a Fama-French six-factor model, globe rating categories, and time effects. Treating the Morningstar Globe Rating as a time-invariant variable, a sample of 80 Swedish global equity funds are divided into two sustainability groups, ‘Low’ and ‘High’, grouping funds with 1-3 globes into a reference group. READ MORE

  4. 3. Pursuit of Excess Returns: Deciphering Performance in European Buyout Funds A Detailed Exploration of Relative Returns and Their Determinants

    University essay from Göteborgs universitet/Graduate School

    Author : Gustav Blomdahl; Erik Hillestad Andréasson; [2023-06-29]
    Keywords : ;

    Abstract : This paper investigates the relative performance of European buyout funds compared to public markets. Using a sample of mature buyout funds, obtained from European limited partners, with vintages between 1995 and 2013, we find that a European buyout fund, on average, outperforms the STOXX Europe 600 index by 52% over its lifetime. READ MORE

  5. 4. Evaluating the Effect of Meta-Labeling on Equity Market Neutral Strategy

    University essay from Lunds universitet/Statistiska institutionen

    Author : Niclas Wölner-Hanssen; [2023]
    Keywords : Meta-Labeling; Probabilistic Sharpe Ratio; Equity Market Neutral; Mathematics and Statistics;

    Abstract : This thesis aims to construct an Equity Market Neutral (EMN) strategy framework to predict intraday excess returns of stocks within the S&P 500 index by utilizing machine learning techniques proposed by (López de Prado, 2018). The constructed EMN strategies within the framework utilizes techniques such as Stacked Single Feature Importance (SSFI), sample weighting, Probabilistic Sharpe Ratio (PSR), and meta-labeling. READ MORE

  6. 5. Predicting Equity Fund Returns: The Impact of the Momentum-Factor on Performance

    University essay from KTH/Matematisk statistik

    Author : Pontus Hovberger; Hugo Brunlid; [2023]
    Keywords : Equity Funds; Value; Growth; Momentum; Carhart Four-Factor Model; Multifactor Model; Momentum Crashes; Aktiefonder; Värdeaktier; Tillväxtaktier; Momentum; Carhart Four-Factor Model; Multifaktormodell; Momentumkrascher;

    Abstract : Momentum has been a persistent and robust factor in explaining excess future returns, generating great interest from investors and financial analysts. Following the financial crisis of 2008 and the Covid-19 pandemic, there have been instances of significant momentum crashes. READ MORE