Essays about: "excess volatility"

Showing result 21 - 25 of 35 essays containing the words excess volatility.

  1. 21. Pairs Trading: Evaluation of profitability and risks on the Swedish stock market

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Pavel Lisev; Marc Schurer; [2015]
    Keywords : cointegration; pairs trading; market-neutrality; rolling window backtest; OMX; Business and Economics;

    Abstract : The turbulent market environment experienced over the last decades has attracted the broad interest of institutional and retail investors towards non-directional and absolute return investment strategies. The scope of this paper mainly concerns the investigation of whether a pairs trading strategy based on the cointegration approach generates excess returns on the Swedish equity market or fails to meet initial expectations. READ MORE

  3. 22. Pairs Trading in European Equity Markets

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Bill Sawarell; Can Inci; [2014]
    Keywords : Pairs trading; Convergence trading; Statistical arbitrage; Distance method; Alpha;

    Abstract : In this paper we use a known pairs trading strategy and examine its performance in three separate European equity markets using daily data over the 20-year period between January 1994 and December 2013. We find that the strategy produces positive average excess returns in all three markets, and that alphas are significantly positive both when controlling for market exposure using the CAPM and when controlling for exposure to the European Fama-French factors. READ MORE

  4. 23. A Sober Walk Down Wall Street, Risks and Benefits of a Trend Following Strategy

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Truls Stattin; Sofia Wärmlöf Helmrich; [2014]
    Keywords : Trend following; Time series momentum; Divergent trading strategy; Futures;

    Abstract : This thesis examines an investment strategy referred to as trend following. We construct a rule-based trading algorithm, built solely on past prices and volatility, aiming at capturing trends in futures markets. READ MORE

  5. 24. Service Process Optimisation in Swedish Public Dental Care

    University essay from IHH, Centre of Logistics and Supply Chain Management; IHH, Företagsekonomi

    Author : Gunita Laursone; Emelie Domeij; [2013]
    Keywords : service processes; business process optimisation BPO ; Total Quality Management TQM ; Business Excellence; European Framework for Quality Management EFQM ; competitive advantage; Swedish public dental care; action research;

    Abstract : Introduction - High volatility (Vergidis, Tiwari & Majeed, 2006) and uncertainty (Eisenhardt, 2002) have increased the unpredictability and competitiveness for all types of businesses (Magal & Word, 2009). As a result, optimisation has become a common practice in the commercial and manufacturing sectors (Rowlands, Antony & Knowles, 2000) to maximally utilise the existing processes and ensure a sustainable and scalable competitive advantage (Antony, 2005). READ MORE

  6. 25. Idiosyncratic Risk and Expected Stock Returns: An Empirical Investigation on the GIPS Countries

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Nadir Luvisotti; [2013]
    Keywords : Idiosyncratic Risk; CAPM; Fama-French three factor model; GIPS equity markets;

    Abstract : The thesis aims to provide a framework for understanding how the idiosyncratic risk (IVOL) may affect the returns of individual stocks in the context of the Capital Asset Pricing Model and the Fama-French three factor model. We examine the Greek, Italian, Portuguese and Spanish (GIPS) Equity Markets. READ MORE