Essays about: "low volatility effect"

Showing result 21 - 25 of 37 essays containing the words low volatility effect.

  1. 21. Relationship between currency carry trade and DAX & DJIA

    University essay from Umeå universitet/Företagsekonomi

    Author : Ioanna Nikoli; Md Mosharof Hossain; [2015]
    Keywords : Business Administration; Currency carry; DAX; DJIA; EGARCH [1; 1]; Finance; Granger; Ioanna; Mosharof; VAR; Umeå;

    Abstract : Abstract:   The last decade currency carry trade has gained a lot of popularity because of their apparent profitability. It is a strategy that has been developed to exploit violations of the Uncovered Interest Rate Parity. READ MORE

  3. 22. The Impact of Income Smoothing on Firm Value after the Sarbanes-Oxley Act

    University essay from Lunds universitet/Företagsekonomiska institutionen

    Author : Bence Sandor Kerekes; Bojana Cvetanovska; [2015]
    Keywords : earnings management; accrual-based income smoothing; agency cost; information asymmetry; discretionary accruals; Sarbanes-Oxley Act; Business and Economics;

    Abstract : Purpose: To empirically investigate whether income smoothing creates or destroys value after the enactment of the Sarbanes-Oxley Act, which has tremendously changed the legal environment of income smoothing. We compare our results with pre-SOX research to conclude whether and how legislation change has affected the perception of income smoothing. READ MORE

  4. 23. Rising household consumer debt: Good or bad? Empirical research on U.S. stock market volatility using normal mixture GARCH-MIDAS model

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Hang Le; [2015]
    Keywords : Household debt; Income Inequality; Stock market volatility; Mixed Data Sampling; Normal Mixture Distribution;

    Abstract : Household debt has been on the continuous rise to raise concern for its sustainability and its consequences to the financial system and the macro-economy as a whole. In this paper, I review empirical work on the growth of total household consumer debt ratio on long-term component of stock market volatility. READ MORE

  5. 24. Asset allocation under Solvency II : Adjusting investments for capital efficiency

    University essay from KTH/Entreprenörskap och Innovation

    Author : ERIK HELLGREN; FREDRIK UGGLA; [2015]
    Keywords : Solvency II; capital requirements; life insurance; market risk; portfolio; Solvens II; kapitalkrav; livförsäkring; marknadsrisk; portföljoptimering;

    Abstract : Solvens II är ett nytt regelverk för försäkringsbolag inom EU som ska träda i kraft 2016. Tidigare forskning har diskuterat effekterna av det nya regelverket och förutspår att det kommer att påverka försäkringsbolagens tillgångsallokering. READ MORE

  6. 25. Winning with IVOL

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Anton Kristiansson; Sebastian Vogel; [2015]
    Keywords : idiosyncratic risk; asset pricing; stochastic discount factor; limits to arbitrage; IVOL;

    Abstract : Idiosyncratic volatility has an increasing effect on returns. This increasing effect is strongest for small stocks, which can be explained by investors' underdiversification. Previous studies that found a decreasing effect did not control for the low-beta anomaly. READ MORE