Essays about: "stock market"

Showing result 1 - 5 of 1797 essays containing the words stock market.

  1. 1. Black-Litterman Model for Portfolio Performance Enhancement - An Out-Of-Sample Evaluation of the Black-Litterman Model on a U.S. Stock-Dominated Portfolio

    University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Author : Christoffer Hellekant; Rasmus Olofsson; [2022-02-15]
    Keywords : ;

    Abstract : In this thesis, the Black-Litterman model is evaluated out-of-sample and compared to mean-variance and naïve allocation. Two references are implemented in the Black-Litterman framework, the minimum-variance and naive portfolios. The study complements previ-ous work by considering a stock-dominated portfolio, where all assets are from the U.S. READ MORE

  2. 2. The Swedish inflation rate and stock market returns: does the Fisher effect exist?

    University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Author : Adam Malmén; Anton Persson; [2022-02-15]
    Keywords : ;

    Abstract : In Sweden the annual inflation rate raised in September 2021 above the Sveriges Riksbank inflation target of two percent annually, which has been the central bank's inflation target since 1995. This created a discussion regarding if the repo interest rate should be increased from currently zero percent. READ MORE

  3. 3. Liquidity and its effect on asset returns

    University essay from Uppsala universitet/Företagsekonomiska institutionen

    Author : Philip Mafi; Linnéa Wilhelmsson; [2022]
    Keywords : Asset-pricing; illiquidity premium; liquidity factor;

    Abstract : With data covering 20 years, we test three different liquidity measures' explanatory power in explaining asset returns on the Swedish stock market, and if an illiquidity premium exists. After establishing whether an illiquidity premium exists or not, we test whether the asset pricing models CAPM and the Fama-French three-factor model can benefit from including a liquidity factor. READ MORE

  4. 4. Measurement of sectoral concentration with multiple factors

    University essay from Uppsala universitet/Statistiska institutionen

    Author : Victor Norrbin; [2022]
    Keywords : Concentration risk; Sector concentration; Credit risk; Time series analysis; Principal component analysis; Monte carlo simulation; Multi-factor model;

    Abstract : One of banks core businesses today is to, in various ways, lend capital to the market and in return receive interest rate. But giving out credit comes with great risk and, therefore, precautions need to be taken. It is impossible to forecast exactly which obligor (borrower) that will default on its exposure. READ MORE

  5. 5. Predicting the Options Expiration Effect Using Machine Learning Models Trained With Gamma Exposure Data

    University essay from KTH/Skolan för elektroteknik och datavetenskap (EECS)

    Author : Alexander Dubois; [2022]
    Keywords : AdaBoost; LSTM; Machine learning; Random forests; Stock markets; SVM;

    Abstract : The option expiration effect is a well-studied phenome, however, few studies have implemented machine learning models to predict the effect on the underlying stock market due to options expiration. In this paper four machine learning models, SVM, random forest, AdaBoost, and LSTM, are evaluated on their ability to predict whether the underlying index rises or not on the day of option expiration. READ MORE