Essays about: "risk premia"

Showing result 1 - 5 of 34 essays containing the words risk premia.

  1. 1. Frog in the Factor Pan: Continuous information in factor momentum

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Darius Saftoiu; Jinyoung Lee; [2022]
    Keywords : Momentum; Factor momentum; Frog-in-the-pan hypothesis; Limited attention; Continuous information;

    Abstract : Since stock momentum stems from momentum within common risk factors, as shown through recent studies, we test whether Da et al. (2014)'s frog-in-the-pan hypothesis of limited attention is able to explain the persistence of the momentum within factor risk premia. READ MORE

  2. 2. Principal Component Analysis and the Cross-Sectional Variation of Returns

    University essay from

    Author : Armin Ramovic; Mikael Åkerman; [2021-06-23]
    Keywords : Principal Component Analysis; PCA; principal components; cross-sectional variation of returns; risk premia; asset pricing; demensionality reduction; risk factors; machine learning;

    Abstract : We utilize Principal Component Analysis (PCA), a dimensionality reduction technique, on a set of 142 risk factors, including macroeconomic factors, proposed in financial literature to construct factor models with high explanatory powers when analysing the cross-sectional variation of portfolio returns. We apply a Fama and Macbeth (1973) two-pass regression to estimate risk premia commanded by our principal components. READ MORE

  3. 3. Illiquidity and Its Threats - A Study of the U.S. Corporate Bond Market

    University essay from Lunds universitet/Matematisk statistik

    Author : Adam Löfquist; Erik Ottosson; [2021]
    Keywords : Liquidity; price dispersion; Hui-Heubel liquidity ratio; ILLIQ; TRACE; U.S. corporate bonds; Over-the-Counter market; regression analysis; return modelling; stressed market conditions.; Mathematics and Statistics;

    Abstract : In recent times of market turmoil, liquidity risk has become a big talking point. As certain Swedish fixed income funds, which were advertised as safe investment options, closed for a few trading days in March of 2020 due to the extremely high stress on the market, questions about how illiquidity a↵ects risk and return were asked. READ MORE

  4. 4. An Empirical Study of Autoencoder Asset Pricing Models and the Impact of Arbitrage Constraints

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Benjamin von Essen; Haohang Wu; [2021]
    Keywords : Empirical asset pricing; Conditional asset pricing model; Machine learning; Arbitrage; Multi-factor model;

    Abstract : Following Gu et al. (2021), we implement a state-of-the-art machine learning asset pricing model, the conditional autoencoder, to capture the time-varying interactions between observable stock characteristics and factor loadings, while simultaneously extracting latent factors from stock returns. READ MORE

  5. 5. Sovereign Default, Risk-Averse Investors and the World Interest Rate

    University essay from Handelshögskolan i Stockholm/Institutionen för nationalekonomi

    Author : Martina Dosser; [2021]
    Keywords : Sovereign Default; International Lending; Government Bonds; International Contagion; Risk Premia;

    Abstract : Empirical evidence suggests that global factors, such as the world interest rate and the degree of risk-aversion of international investors, are key drivers of sovereign spreads in emerging economies. Building on this evidence, this paper extends a model of strategic sovereign default to account for both a time-varying world interest rate and risk-averse international investors, in order to study the impact of these factors on sovereign debt prices and default incentives. READ MORE