Essays about: "excess volatility"
Showing result 16 - 20 of 35 essays containing the words excess volatility.
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16. Factor Sensitivities to Alternative Macroeconomic Environments
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : In this thesis, we examine how different factors are exposed to alternative macroeconomic environments. We apply a range of different approaches in order to explore these relationships. Firstly, we analyse mean excess returns and Sharpe ratios of factors in different macroeconomic regimes. READ MORE
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17. Forecasting Swedish Stock Market Volatility and Value-at-Risk: A Comparison of EWMA and GARCH Models
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : In this study we compare different volatility models on their ability to forecast one day ahead volatility and value-at-risk (VaR). We compare five different GARCH specifications: GARCH, IGARCH, GJR-GARCH, EGARCH and APARCH, as well as EWMA, each paired with six different conditional distributions. READ MORE
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18. The Effect of Bond Convexity in Abnormal Volatility
University essay fromAbstract : According to earlier empirical studies, convexity in the U.S. treasury market is arbitrage-free priced. This paper study whether the arbitrage-free pricing of convexity held even in the financial crisis and the volatile period that followed. READ MORE
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19. The link the market refuses to accept: Political variables and the excess returns on the Swedish stock market
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : Excess returns in the Swedish stock market are higher under left-winged than right-winged governments. The differences in excess returns between the governments are neither explained by a higher risk nor a higher interest rate. READ MORE
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20. Asset Pricing with an Excess Volatility Factor : A Multi-Index Model Approach
University essay from Stockholms universitet/FinansieringAbstract : This paper evaluates the impact that the integration of an excess volatility factor has on the asset-pricing performance of the Fama-French (1992, 1993) and of the Carhart (1997) models, with reference to the retrospective and prospective explanation of the time series and of the cross section of excess returns on stocks. Specifically, the research intends to determine whether or not a new excess volatility factor is able to capture common sources of excess returns on stocks, related to excess volatility, and left unexplained by the available asset-pricing models. READ MORE
