Essays about: "implied equity premium"
Showing result 1 - 5 of 7 essays containing the words implied equity premium.
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1. Performance of Small- and Large-cap stock portfolios- The importance of market anomalies across business cycles
University essay from Göteborgs universitet/Graduate SchoolAbstract : This Master´s thesis investigated the importance of the market anomalies size (market capitalization), value (Book-to-Market ratio) and momentum (lagged short-term momentum) for equity returns of small- and large-cap composite stock portfolios. The study focused on two contrasting stock markets (NASDAQ OMX and NYSE) across domestic business cycles over the time-period 2006 to 2021. READ MORE
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2. The effects of political uncertainty on options: An empirical study of S&P 500, Euro Stoxx 50, and S&P sectors around political events
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : We study options spanning political events and examine whether a price premium, associated with the political uncertainty from events, exists. First, we use recent data and replicate parts of Kelly, Pastor, and Veronesi (2016) by analysing how the price risk, variance risk, and tail risk associated with political events, affect equity options on the S&P 500 and Euro Stoxx 50 indices. READ MORE
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3. DOES IT PAY TO BE ESG? : An empirical analysis of sustainability in the Nordic countries from a risk and valuation perspective
University essay from Umeå universitet/FöretagsekonomiAbstract : In the field of sustainable finance, Environmental-, Social- and Governance-ratings (ESG) have become an acknowledged measurement of a firm's sustainability performance. The increased awareness of sustainability issues in today's society is undeniable. READ MORE
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4. Machine Learning - The Future of Equity Premium Prediction
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : Predictions of the equity premium have historically been made by using traditional predictive regressions. Despite the great promise of machine learning applications for prediction tasks, it has largely been overlooked in the financial literature. READ MORE
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5. Volatility of Volatility - The Uncertainties of Risks
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : This paper is an attempt to explore the characteristics of volatility of volatility on the aggregate level and investigate its role in the pricing of equity assets. Several measures of volatility of volatility for the S&P 500 index are elaborated and investigated in this study; realized, parametrized and implied. READ MORE