Essays about: "excess volatility"

Showing result 6 - 10 of 35 essays containing the words excess volatility.

1. 6. Volatility-managed portfolios in the international markets

   University essay from Stockholms universitet/Finansiering

   Author : Soroush Hasanpour; Emil Adamsson; [2022]
   Keywords : Financial Markets; Asset-pricing; asset pricing; Equity; Equity Markets; Volatility; Volatility-management; international markets; Volatility pricing; Pricing anomalies;

   Abstract : Volatility-managed portfolios offer mixed returns in an international setting based on ex-ante information. The results of this paper further strengthen the theory that the variability of excess returns from volatility-management are more dependent on underlying investor strategy rather than differences of global markets. READ MORE

3. 7. Implementation of water electrolysis in Växjö´s combined heat and power plant and the use of excess heat : A techno-economic analysis

   University essay from Linnéuniversitetet/Institutionen för byggd miljö och energiteknik (BET)

   Author : Florian von Hepperger; [2021]
   Keywords : CHP plant; Electrolysis; Hydrogen production; Excess heat; Renewable energy; Price volatility;

   Abstract : Renewable energies are fluctuating and the bigger its share on the Swedish energy market, the more fluctuating are the prices. Therefore, CHP plant operators as VEAB in Växjö, are more and more struggling to be competitive. READ MORE

4. 8. Are investors better safe than sorry? The impact of extreme losses in the return distribution on capital allocation in actively managed equity funds

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Ylvali Busch; Gustav Göransson; [2020]
   Keywords : Mutual funds; Actively managed equity funds; Fund flows; Extreme payoffs; Prospect theory;

   Abstract : In this paper, we show that capital flow to actively managed equity funds is dependent on past extreme negative return states of the fund. Specifically, we examine how an extreme negative monthly payoff impacts the investment flow of actively managed equity funds in the following year, adjusting for past performance and other fund characteristics. READ MORE

5. 9. The Moat of Finance : Does Complexity Reward the Private Investor?

   University essay from KTH/Fastigheter och byggande

   Author : Johan Svanberg; Daniel Max; [2019]
   Keywords : Price to Earning; Price to Book; Dividend Yield; Multi-ratio Strategies; Efficient Market Hypothesis; Modern Portfolio Theory; Excess Returns; Alpha and Stockholm Stock Market.;

   Abstract : This paper evaluates the ability of single and multi-ratio investment strategies, such as P/E, P/B, Magic Formula and Piotroski F-score, to generate excess returns and positive alpha values on the Stockholm Stock Market. Performances of the strategies tested are compared to the Stockholm Stock Market as a whole, also known as the index “OMXSPI”. READ MORE

6. 10. Sustainable Investments

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Märta Sandberg; [2019]
   Keywords : Sustainable investments; financial performance; ESG rating; Fama-French three-factor model; Fama-French five-factor model; CAPM; Business and Economics;

   Abstract : This paper investigates the relationship between financial performance and sustainable performance. More specifically, it investigates whether sustainable firms outperform less sustainable firms. The sustainable performance is based on companies received ESG score. READ MORE