Essays about: "non-linear returns"
Showing result 1 - 5 of 18 essays containing the words non-linear returns.
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1. Can Machine Be a Good Stock Picker?: Bridging the Gap between Fundamental Data and Machine Learning
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : We investigate the efficacy of historical accounting data and consensus forecasts for relative valuation of stocks, employing tree-based machine learning methods. We run an XGBoost model for monthly cross-sections of financial and pricing data of US equities from 1984 to 2021. READ MORE
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2. Prediction of Stock Returns Using Accounting Data with a Machine Learning Approach
University essay from Göteborgs universitet/Graduate SchoolAbstract : The relationship between accounting data and stock price prediction has been a hot topic for over half a century. Researchers have been trying to identify the relationship and investigate how it may be useful when trying to improve prediction accuracy. READ MORE
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3. THE (NON) IMPORTANCE OF CEO OWNERSHIP? AN AGENCY THEORETIC PERSPECTIVE ON M&A
University essay from Göteborgs universitet/Graduate SchoolAbstract : For decades, corporate acquisitions and subsequent shareholder returns have been studied, only to yield ambivalent results at best. As global M&A volumes have recently reached multi-trillion dollar levels, understanding the drivers of positive abnormal returns is now, more than ever, vital. READ MORE
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4. Artificial Intelligence for Option Pricing
University essay from Göteborgs universitet/Institutionen för matematiska vetenskaperAbstract : This thesis addresses the issue of vulnerable underlying assumptions used in option pricing methodology. More precisely; underlying assumptions made on the financial assets and markets make option pricing theory vulnerable to changes in the financial framework. READ MORE
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5. On the Heterogeneous and Time-Varying Relationship Between Stock Returns and Exchange Rates: Using a Panel Smooth Transition Regression Model
University essay from Handelshögskolan i Stockholm/Institutionen för nationalekonomiAbstract : This paper investigates the heterogeneous and time-varying relationship between stock returns and exchange rates for a panel of 19 countries using a panel smooth transition regression model and evaluates the role of the current account balance. Panel unit root tests indicate that stock market price indices and real effective exchange rates are non-stationary. READ MORE