Essays about: "stock market"

Showing result 1 - 5 of 1247 essays containing the words stock market.

  1. 1. Arbitrage Pricing Theory: A study on the Stockholm Stock

    University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Author : Richard Johansson; Pierre Petersson; [2019-03-01]
    Keywords : Arbitrage Pricing Theory; APT; Stockholm Stock Exchange; Macroeconomic Factors; Multi Factor Model;

    Abstract : This thesis investigates the macroeconomic factors that affect the returns on the different portfolios in Stockholm Stock Exchange by using Arbitrage Pricing Theory (Stephen Ross 1976). We use the portfolios of Large Cap, Mid Cap, Small Cap, and All Caps. Specifically, multiple index model is used. The sample period is 2012-2017. READ MORE

  2. 2. Financial Performance of Firms with Low Respectively High ESG Scores - A study of the US Technology sector

    University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Author : Hanna Lindbo; Diana Salim; [2019-02-21]
    Keywords : ESG; Technology sector; Risk-adjusted return; Sharpe Ratio;

    Abstract : This study investigates the relationship between financial performance and ESG score over a five-year time period, January 2013 to January 2018, in the US market. To examine this, two small cap portfolios is constructed, one consisting of firms with high ESG scores and one with low ESG scores. READ MORE

  3. 3. Performance Evaluation of Small- and Large-cap stocks - The importance of size effects on the Swedish equity market

    University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Author : Andreas Carlsson; Erik Hulth; [2019-02-20]
    Keywords : Performance Evaluation; Asset pricing; Size Effect; Sharpe Ratio; Treynor ratio; Jensen´s alpha; Risk-Adjusted Returns; Fama-French Three-Factor Model; Carhart Four-Factor Model; Multi-factor models; Single-factor model;

    Abstract : This Bachelor´s thesis investigated the performance of small-cap stocks and large-cap stocks on the Swedish equity market (NASDAQ OMX) over the years 2011 to 2016. A number of studies focused on asset pricing have during the last decades indicated that the original Capital Asset Pricing Model (CAPM) is misspecified and has limited power to explain cross-sectional and temporal variations in expected equity returns. READ MORE

  4. 4. Economic Implications of the Payment Services Directive 2: Empirical Evidence from the Capital Markets

    University essay from Göteborgs universitet/Företagsekonomiska institutionen

    Author : Maxim Mokhonko; Kushtrim Sylejmani; [2019-02-01]
    Keywords : event study; Payment Service Directive 2; PSD 2; regulation;

    Abstract : This study is the first, to our knowledge, to analyze the effect of the Payment Services Directive 2 onthe European banks’ stock returns. The financial market data is analyzed using the event studymethodology. Our findings show that the PSD 2 has had a statistically significant positive impact onthe stock returns of the European banks. READ MORE

  5. 5. Volatility forecasting using the GARCH framework on the OMXS30 and MIB30 stock indices

    University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Author : Peter Johansson; [2019-01-22]
    Keywords : Volatility forecasting; Random Walk; Moving Average; Exponentially Weighted Moving Average; GARCH; EGARCH; GJR-GARCH; APGARCH; volatility model valuation; regression; information criterion;

    Abstract : There are many models on the market that claim to predict changes in financial assets as stocks on the Stockholm stock exchange (OMXS30) and the Milano stock exchange index (MIB30). Which of these models gives the best forecasts for further risk management purposes for the period 31st of October 2003 to 30th of December 2008? Is the GARCH framework more successful in forecasting volatility than more simple models as the Random Walk, Moving Average or the Exponentially Weighted Moving Average?The purpose of this study is to find and investigate different volatility forecasting models and especially GARCH models that have been developed during the years. READ MORE