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Showing result 1 - 5 of 318 essays matching the above criteria.

1. 1. The value of a good deed; ESG-scores and returns in the Nordic stock markets

   University essay from

   Author : Axel Olausson; Axel Pettersson; [2023-11-07]
   Keywords : Stock returns; ESG; Risk-adjusted returns; Adjusted Sharpe ratio; unequal variance t-test; Nordic market;

   Abstract : This paper seeks to answer which effect ESG-scores have on risk-adjusted returns for stocks listed on Nordic stock markets. To answer this, we create five null hypotheses and use unequal variance t-tests to determine if the hypotheses can be rejected. READ MORE

3. 2. Beyond Profits: Exploring the Investment Styles and Risk-Adjusted Returns of ESG-Driven Portfolios

   University essay from

   Author : Alexander Olsson; Jonathan Taimory; [2023-07-06]
   Keywords : Risk-adjusted Returns; Investment Styles; Environmental; Social and Governance ESG ;

   Abstract : This study uses daily data to examine how different ESG implementations affect performance and portfolio characteristics. With a non-homogenous view of how ESG investing is defined, ten different value-weighted portfolios are constructed. The geographical focus is the US market, with the S&P 500 total return index (SPXTR) as the screening universe. READ MORE

4. 3. Analysing the effects of 24/7 Carbon-free Energy procurement strategies on the electricity system : Case Study of commercial and industrial sector in the Netherlands

   University essay from KTH/Skolan för industriell teknik och management (ITM)

   Author : NINA JABŁOŃSKA; [2023]
   Keywords : 24 7 Carbon-free Energy; carbon accounting; corporate electricity procurement; Energy Attribute Certificates; hourly matching; the Netherlands.; 24 7 kolfri energi; koldioxidredovisning; företagens elupphandling; energiattributcertifikat; timmatchning; Nederländerna.;

   Abstract : Considering the growing importance of the electricity sector in the worldwide decarbonisation efforts, as well as large volumes of energy consumed by the commercial and industrial (C&I) sector, corporate power procurement is found to be a significant contributor to building a net zero economy. Within this topic, hourly matching of carbon-free electricity supply with demand, or 24/7 Carbon-free Energy (24/7 CFE), is identified as a next-generation power procurement framework, with growing interest from a wide range of stakeholders in the energy sector and benefits backed by robust research evidence. READ MORE

5. 4. 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 ekonomi

   Author : Tomoya Narita; Povilas Stankevicius; [2023]
   Keywords : Machine Learning; XGBoost; Relative Valuation; Convergence Trade;

   Abstract : 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

6. 5. Fund Managers' Awareness of Announcement Premiums: A Study on Fund Managers' Investment Decisions

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Thomas Paal; Anton Svensson; [2023]
   Keywords : Mutual Funds; Earnings Announcement Premium; Macroeconomic Announcement Premium; Decreasing Exposure; Fund Outflows;

   Abstract : In this paper, we interview fund managers of actively managed Swedish mutual funds to understand how they trade around earnings announcements. Based on an academic paper that we use as the basis for our paper, the authors of the paper find that fund managers on average tend to decrease their exposure to stocks ahead of earnings announcements, even though there is a significantly increased risk-reward and earnings announcement premium to earn ahead of the announcements. READ MORE