Essays about: "risk premia"

Showing result 16 - 20 of 35 essays containing the words risk premia.

  1. 16. Firm-Specific Variables and Expected Stock Returns - A study on the German Market -

    University essay from Lunds universitet/Företagsekonomiska institutionen

    Author : Dylan Remmits; Viktoria Knittel; [2015]
    Keywords : Expected Stock Returns; Fama-MacBeth Cross-Sectional Regression; Risk Premia; German Market; Value Investing; Factor Investing; Portfolio Approach; Conditional Beta; Firm-Specific Variables; Business and Economics;

    Abstract : Purpose: The purpose of this thesis is to investigate which firm-specific variables can explain the cross-section of expected stock returns in the German market. The tested explanatory variables are market beta, firm size, the book-to-market ratio, the earnings-to-price ratio, leverage, the dividend yield, the cash flow-to-price ratio and sales growth. READ MORE

  3. 17. Sense and Sensibility - How Women Help Corporations Make More Informed Decisions: A research study about the gender effect on corporate acquisitions in Sweden during the period 1999-2014

    University essay from Handelshögskolan i Stockholm/Institutionen för redovisning och finansiering

    Author : Jolin Holmgren; Hannah Larby; [2015]
    Keywords : director gender; CEO gender; mergers and acquisition; overconfidence; risk aversion;

    Abstract : The gender effect on corporate decision-making and on financial behaviour has been thoroughly studied, and gender equality is today on top of many corporate agendas. However, few studies have focused on the gender effect on corporate acquisitions, even though this is one of the most significant economic events a company can go through. READ MORE

  4. 18. Factor return predictability: A comparison of multivariate forecasts of the Size, Value, Momentum, and Low Volatility premia

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Francesco Chincoli; [2015]
    Keywords : Risk Premium; Factor Return Predictability; Forecast Accuracy; Regime Switching;

    Abstract : This paper studies the predictive performance of multivariate models in forecasting joint returns of portfolios tracking the Size, Value, Momentum, and Low Volatility premia. We run recursive out-of-sample forecasting experiments on a number of linear and regime switching models, and compare the accuracy of their point predictions in a qualitative and quantitative fashion. READ MORE

  5. 19. Risk Attitudes and the Equity Premium Puzzle: empirical tests in a cross-country setting

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Max Rylander; [2015]
    Keywords : Equity Premium Puzzle; Myopic Loss Aversion; Ambiguity Aversion; Cultural dimensions; Cultural stationarity;

    Abstract : This study utilises panel data, Equity Home Bias measurements and a two-stage estimation process incorporating one version of the international CAPM to extract comparable input data and test country-scores for risk preferences, risk aversion and time discounting as well as country scores on broader cultural dimensions, on country-estimates of the Equity Risk Premia. The risk attitude scores, which just recently have been made available, are such that they may proxy for irrational behaviours which have been theorized to explain the Equity Premium Puzzle, and enable a rigorous way to empirically test such an effect. READ MORE

  6. 20. Risk premia implied by derivative prices

    University essay from KTH/Matematisk statistik

    Author : Richard Steffen; [2015]
    Keywords : ;

    Abstract : The thesis investigates the potential to recover the real world probabilities of an underlying asset from derivative prices by using the recovery approach developed in (Carr & Yu, 2012) and (Ross, 2011). For this purpose the VIX Index and US Treasury bills are used to recover the VIX dynamics and the short rate dynamics under the real world probability measure. READ MORE