Essays about: "time-varying beta"

Showing result 1 - 5 of 7 essays containing the words time-varying beta.

1. 1. The Momentum Premium: An Intermediary Asset Pricing Perspective

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Simon Eliasson; David Öhlund; [2021]
   Keywords : Momentum; Intermediary Asset Pricing; Time-Varying Risk;

   Abstract : We attempt to explain the momentum premium using time-varying risk under the frictions of financial intermediation. Our conditional CAPM model reveals positive covariation between momentum's beta and the expected market risk premium. READ MORE

3. 2. Refined model for calculating the dynamic amplification factor for road bridges

   University essay from Lunds universitet/Byggnadsmekanik; Lunds universitet/Institutionen för byggvetenskaper

   Author : Jens Bergenudd; [2020]
   Keywords : Dynamics; Dynamic amplification factor; Dynamic impact factor; Platooning; Soil-structure interaction; Vehicle-bridge interaction; Technology and Engineering;

   Abstract : The objective of the thesis is to simulate and evaluate vehicle-bridge interaction (VBI) due to road surface irregularities and soil-structure interaction (SSI) with different vehicle models and suspension properties. Parameter studies will be carried out for integral and slab bridges. READ MORE

4. 3. The Swedish Value Premium and Disasters: The Missing Piece of the Puzzle?

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Majed Habash; David Öhlund; [2019]
   Keywords : The Value Premium; Disasters; Time-varying Risk;

   Abstract : This paper examines the value premium puzzle in Sweden for the period 2002 - 2016 and attempts to explain the puzzle by accounting for time-varying risk exposure with the inclusion of a proxy for financial disasters risk. The value premium is one of the most persistent financial anomalies and the reasons for its existence have been a hot topic for debate over the past years, with more recent research suggesting that it is a form of compensation for higher exposure to harsh economic downturns, or disasters. READ MORE

5. 4. Smart Beta Investering Baserad på Makroekonomiska Indikatorer

   University essay from KTH/Matematisk statistik

   Author : Alexandra Andersson; [2015]
   Keywords : ;

   Abstract : This thesis examines the possibility to find a relationship between the Nasdaq Nordea Smart Beta Indices and a series of macroeconomic indicators. This relationship will be used as a signal-value and implemented in a portfolio consisting of all six smart beta indices. READ MORE

6. 5. Exploring Beta’s Changing Behavior ofSwedish Real Estate Stocks

   University essay from KTH/Fastigheter och byggande

   Author : Medhat Khalil; [2013]
   Keywords : Beta; Asymmetric beta; Time varying beta; Risk; Real Estate; Stocks; Equity; Sweden;

   Abstract : This study aims to analyze the beta and risk behavior of the Swedish listed real estate stocks. Such a study will provide a clearer picture for investors and researchers about the changing nature of that behavior over time. The research method is based on descriptive statistics and CAPM beta regression analysis of the monthly returns. READ MORE