Essays about: "market risk premium"

Showing result 1 - 5 of 144 essays containing the words market risk premium.

1. 1. Unlocking Value from Within Exploring Ownership’s Impact on Discounts to Net Asset Values in the Swedish Real estate market

   University essay from

   Author : Victor Colliander; Oscar Sköldberg; [2023-07-10]
   Keywords : Discount to NAV; Premium to NAV; Swedish Real Estate Firms; Ownership; Institutional; Performance; Valuation; Law of One Price;

   Abstract : In recent times, the economy has undergone a rapid transformation, characterized by a notable increase in interest rates. As a consequence, real estate firms have been particularly impacted by these changes. This paper aims to investigate whether the type of ownership in a firm can influence the discount to net asset value. READ MORE

3. 2. Do you want to swap? A study of the liquidity risk in the SEK interest rate swap market

   University essay from Göteborgs universitet/Graduate School

   Author : Viktor Edberg; Carl Hjelmqvist; [2023-06-29]
   Keywords : Bao; Pan; Wang indicator; Determinants; Dimensions of liquidity; Forward Rate Agreement; Fundamental Review of the Trading Book; Generalized least squares; Interest Rate Derivative; Interest Rate Swap; Liquidity horizon; Liquidity risk premium; Market liquidity; SVEN spread; Swap Spread; Swedish Government benchmark bond; Treasury-Eurodollar; Turnover ratio; Turnover-per-day; Volume-adjusted intraday volatility;

   Abstract : Interest rate swaps are one of the world’s most essential interest rate derivatives. It is therefore important to understand the pricing of these agreements, and how the market is functioning. READ MORE

4. 3. A valuation of Swedish hedge fund performance

   University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

   Author : Elis Grönqvist; Johan Wennerström; [2023-02-09]
   Keywords : ;

   Abstract : In this thesis we present annual returns of Swedish hedge funds sorted by investment strategies and investigate which strategy performs best and how the Fama-French factors: market premium, value premium and growth premium affect these returns. The Fama-French three-factor model is built on the Capital Asset Pricing Model which tries to describe the relationship between the expected return of an asset and the risk of the asset compared to the market. READ MORE

5. 4. Comply or Die: A Study of ESG Factor Returns and Volatility in the Nordic Countries from 2016 to 2022

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Jean-Philippe Chakbazof; Amitesh Raghav; [2023]
   Keywords : ESG Factor; Nordic Compass; Fama Macbeth; Volatility Management; ESG Portfolio;

   Abstract : Using corporate environmental, social and governance (ESG) reporting data from 611 publicly traded firms in the Swedish House of Finance's Nordic Compass database, we estimate stock return and volatility exposures to an ESG factor during the period 2016-2022 in the Nordics. Using a Fama-Macbeth methodology, we find that during this time in the Nordic Countries exposure to an ESG factor is compensated with a risk premium and a volatility reduction in a Fama French 4 Factor model. READ MORE

6. 5. Sustainable Practices within the Real Estate sector : An analysis investigating the impact of sustainability practices within Real Estate companies in Sweden

   University essay from KTH/Fastighetsföretagande och finansiella system

   Author : Sanna Backenroth; Nicol Magnusson; [2023]
   Keywords : Sustainable investment; ESG; energy certification; property valuation; Hållbara investeringar; ESG; miljöcertifiering; fastighetsvärdering; fastighetsmarknaden;

   Abstract : The awareness of ESG (environmental, governance, social) has risen significantly during the last decade. The construction and real estate industry represents 21 % of the negative climate emissions in Sweden, highlighting the crucial role of property owners in achieving a climate-neutral society. READ MORE