Essays about: "noise trader"

Showing result 1 - 5 of 6 essays containing the words noise trader.

1. 1. Listed Property Company Valuation

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Marcus Runström; Ludvig Eksandh; [2022]
   Keywords : Listed Swedish property companies; Closed-end fund puzzle; Noise trader model; NAV premium and discount; Property company valuation;

   Abstract : Among stock market participants, the existence and persistence of deviations between a property company's market capitalization and Net Asset Value are well-recognized. This deviation has a clear link to the premiums and discounts to NAV of closed-end funds, which is referred to as the closed-end fund puzzle in financial economics. READ MORE

3. 2. Does Noise Trader Risk Repel Arbitrageurs? Evidence from Chinese A-H Share Premia

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Qing Zhu; Haihui Li; [2020]
   Keywords : noise trader risk; A-H premia; volatility; investor sentiment; limits to arbitrage;

   Abstract : What causes the Chinese A-H share premia puzzle? A-shares enjoy a premium over corresponding H-shares on average by 125%, despite the same rights and dividends. The existing hypotheses such as differential risk, differential demand, liquidity, and asymmetric information cannot successfully account for the great magnitude of inflated A-share prices and are also inconsistent with our sample from 2014-2019. READ MORE

4. 3. Utilizing short-term noise in non-efficient markets by paired assets : -Introducing the Technical AMH trader

   University essay from Umeå universitet/Nationalekonomi

   Author : Love Westin; [2019]
   Keywords : ;

   Abstract : In this paper, we present an algorithmic implementation of a pairs trading strategy on the OMXS during the years from 2010 until 2018. In our case, the trading algorithm is based on the Adaptive Market Hypothesis (AMH) theory. Hence, the algorithm scans the market for temporary inefficient behaviour, as defined by AMH. READ MORE

5. 4. Examining the Deviation to Net Asset Value for Swedish Listed Property Companies

   University essay from KTH/Fastigheter och byggande

   Author : Tomas Shaw; Matilda Wåhlin; [2016]
   Keywords : Deviation to NAV; Panel data; Real Estate; Substansrabatt; Substanspremie; Panel data;

   Abstract : Net asset value (NAV) is commonly used to represent the value of a property company. For listed property companies a secondary valuation occurs simultaneously as the company’s stocks are traded on the stock market. READ MORE

6. 5. Swedish Investment Companies and Behavioral Determinants of the Relative Valuation to NAV

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Mattias Svensson; Olle Boström; [2015]
   Keywords : Swedish investment companies; Closed-end fund discount; Noise traders; Behavioral finance;

   Abstract : The discount to Net Asset Value (NAV) in Swedish investment companies is a phenomenon that has been present for decades. This study aims to explain part of the discount valuation without taking firm-specific characteristics into consideration. Instead, we use several regression models where only market-wide behavioral arguments are used. READ MORE