Essays about: "liquidity expected return"

Showing result 1 - 5 of 8 essays containing the words liquidity expected return.

  1. 1. Stock Market Volatility in the Context of Covid-19

    University essay from Jönköping University/IHH, Företagsekonomi

    Author : Liu Kunyu; [2022]
    Keywords : The U.S. stock market; COVID-19; volatility clustering; GARCH models; leverage effect;

    Abstract : The global economy has been severely impacted during the Covid-19 period. The U.S. stock market has also experienced greater volatility. READ MORE

  3. 2. Is Illiquidity a Good Proxy for Risk? : Can illiquidity have an effect on growth firms' expected return?

    University essay from Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO)

    Author : Vilma Carlberg; Christina Gyllner; [2022]
    Keywords : AILLIQ; ILLIQ; risk; return; capital asset pricing model; liquidity; illiquidity; small-cap; t-test;

    Abstract : As previous researchers have discussed the paradigm of risk and return, this study also suggests illiquidity as a good proxy for risk. An illiquid asset, thus higher risk, should generate high return. READ MORE

  4. 3. Green Bonds: A Study on Expected Returns and Liquidity Effects

    University essay from Göteborgs universitet/Graduate School

    Author : Carl-Anton Bryngelsson; Anton Gavin; [2019-08-08]
    Keywords : Green bonds; Liquidity; Bid-Ask Spread; Fixed income; Expected return; Asset pricing; Bond pricing;

    Abstract : The emerging market of Green bonds has seen a positive growth over the recent years in the presence of the Paris objective of limiting the global warming to 2°C by the year 2100. In addition, fuelled the attention from a broader audience of issuers and investors. READ MORE

  5. 4. Sustainable Investment Strategies : A Quantitative Evaluation of Sustainable Investment Strategies For Index Funds

    University essay from Umeå universitet/Institutionen för matematik och matematisk statistik

    Author : John Erikmats; Johan Sjösten; [2019]
    Keywords : ESG; CSR; investment strategies; sustainable investment strategies; sustainability; sustainable investments; sustainable finance; index funds; tracking-error; tracking-error minimization; ESG; CSR; investeringsstrategier; hållbara investeringsstrategier; hållbarhet; hållbara investeringar; hållbar finans; indexfonder; tracking-error; minimering av tracking-error;

    Abstract : Modern society is faced with the complex and intractable challenge of global warming, along with other environmental issues that could potentially alter our way of life if not managed properly. Is it possible that financial markets and equity investors could have a huge part to play in the transformation towards a greener and more sustainable world? Previous studies about investment strategies regarding sustainability have for the most part been centered around possibly less objective ESG-scores or around carbon and GHG-emissions only, with little or no consideration for water usage and waste management. READ MORE

  6. 5. Applying Multivariate Expected Shortfall on High Frequency Foreign Exchange Data

    University essay from KTH/Matematisk statistik

    Author : Sara Holmsäter; Emelie Malmberg; [2016]
    Keywords : Multivariate Expected Shortfall; Component Expected Shortfall;

    Abstract : This thesis aims at implementing and evaluating the performance of multivariate Expected Shortfall models on high frequency foreign exchange data. The implementation is conducted with a unique portfolio consisting of five foreign exchange rates; EUR/SEK, EUR/NOK, EUR/USD, USD/SEK and USD/NOK. READ MORE