Essays about: "idiosyncratic explanatory variables"

Found 3 essays containing the words idiosyncratic explanatory variables.

  1. 1. The ESG-Risk Relationship - A study of the relationship between ESG and firm-specific risk of publicly traded firms in Sweden

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Jonathan Bark; Melker Lundberg; [2022]
    Keywords : Idiosyncratic Volatility; ESG; Fama-French three-factor model; ESG-risk relationship; Business and Economics;

    Abstract : Non-financial metrics have come to play a larger role in financial markets as years pass, impacting decisions made by businesses, investors and policy makers alike. A significant non-financial metric captured by the term ESG or Environmental, Social and Governance. READ MORE

  3. 2. The Beta Anomaly in Recessions: Revisiting Beta's role in the Beta Anomaly

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Martin Lokander; Petra Lundström; [2020]
    Keywords : Beta Anomaly; Recessions; Beta; Idiosyncratic Volatility; Leverage Constraints;

    Abstract : In this thesis, we extend upon existing research on the beta anomaly by investigating beta's role in the anomaly. This is done by studying the anomaly during recessions, where beta-driving variables such as leverage constraints likely are affected. READ MORE

  4. 3. Credit Spread Determinants : Significance of systematic and idiosyncratic variables

    University essay from Högskolan i Jönköping/IHH, Företagsekonomi

    Author : Svetozar Jargic; [2017]
    Keywords : Credit spread puzzle; systematic explanatory variables; idiosyncratic explanatory variables; structural models; credit spread; Eurobond market;

    Abstract : Credit spread is the extra risk-reward that an investor is bearing for investing in corporate bonds instead of government bonds. Structural models, which are simple in their framework, fail to explain the occurring credit spread and underestimate the predicted credit spread. READ MORE