Essays about: "long short portfolio"

Showing result 11 - 15 of 82 essays containing the words long short portfolio.

  1. 11. Rational Exuberance: Hedge fund trading strategy in bubbles

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Jacob Gren; Elin Söderlund; [2022]
    Keywords : Hedge Funds; Stock Bubbles; Positive Feedback Strategy; Mispriced Securities;

    Abstract : This paper examines hedge fund trading strategy in seven bubbles and concludes that hedge funds apply different strategies for different bubbles. We analyze hedge funds' long positions in bubble stocks. Further, we run a regression to account for any short positions. READ MORE

  3. 12. Examining the Existence of the Characteristic Liquidity Premium: A Study of the U.S. Stock Market

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Joel Ejdesjö; Maxime Karl Marcel Rundström; [2022]
    Keywords : Characteristic liquidity premium; liquidity dimension; low-frequency effective spread; transaction cost mitigation; net returns alpha;

    Abstract : This paper examines the existence of a characteristic liquidity premium among U.S. stock returns between January 1964 and December 2021 after adjusting for transaction costs. Liquidity is estimated using four different measures in order to capture different dimensions of liquidity (price impact, trading cost, trading speed, and trading quantity). READ MORE

  4. 13. Modelling of Capital Requirements using LSTM and A-SA in CRR 3

    University essay from KTH/Matematik (Avd.)

    Author : William Gan; [2022]
    Keywords : Capital Requirements; machine learning; neural networks; financial mathematics; risk management; CRR 3; FRTB; Kapitalkrav; maskininlärning; neurala nätverk; finansiell matematik; riskhantering; CRR 3; FRTB;

    Abstract : In response to the Great Financial Crisis of 2008, a handful of measures were taken to increase the resilience toward a similar disaster in the future. Global financial regulatory entities implemented several new directives with the intention to enhance global capital markets, leading to regulatory frameworks where financial participants (FPs) are regulated with own fund's requirements for market risks. READ MORE

  5. 14. Skin in the Game: Should Investors Care About Manager and Board Member Ownership?

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Ludvig Hylander; Johan Åkesson; [2022]
    Keywords : Ownership Structure; Stock Price Performance; Insider Ownership; Incentives; Equity Ownership;

    Abstract : In this study, we investigate if companies where corporate insiders (board members and management teams) own a significant share of the company, have a better stock price performance than companies where corporate insiders own little or no shares. We use the Fama-French three-factor model to break down the stock price performance. READ MORE

  6. 15. Patent Law and Green Technology: The role of patent law mechanisms in the development and diffusion of "green technologies"

    University essay from Lunds universitet/Institutionen för handelsrätt

    Author : Sonja Rapcanova; [2022]
    Keywords : Green Technology; Patent Law; Climate Change; Intellectual Property Rights; Technology; Law and Political Science;

    Abstract : Patent law has been prevalent in climate change discussions, as a factor linking technology, Intellectual Property Rights (IPRs) and the climate crisis. The inventive step, its set threshold and the environmental benefits for the assessment of its current state, are one of the paths where patent law can act as a potential promoter of green technologies. READ MORE