Essays about: "time-varying risk"

Showing result 1 - 5 of 54 essays containing the words time-varying risk.

  1. 1. 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

  3. 2. Financing the Nordic Energy Transition: An Empirical Analysis of Leverage, Pricing and Return Expectations in Renewable Energy Transactions

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Franziska Grünthaner; [2023]
    Keywords : Buyouts; Leverage; Valuation; Renewable Energy; Infrastructure Investment;

    Abstract : This study examines whether leverage and pricing in transactions of renewable energy infrastructure assets are impacted by the same factors that have been found to determine financial structures in buyout transactions. It primarily draws on a proprietary data set of 261 wind and solar photovoltaic (PV) transactions in the Nordics between 2011 and 2023 and explores the effect of acquirer-, asset-, and industry-specific characteristics as well as time-varying variables on leverage, pricing and return expectations. READ MORE

  4. 3. Value investing and the interpretation of performance and risk

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Nils Andersch; Nils Wallgren; [2023]
    Keywords : Value Investing; Efficient Market Hypothesis; Behavioural Finance; Investor Biases; Time Varying Risk;

    Abstract : Historically, value investing strategies have been generally accepted by scholars to generate returns significantly above the market. However, if the risk-adjusted returns of these strategies are above the market remains an intense debate. READ MORE

  5. 4. Estimating the Market Risk Exposure through a Factor Model with Random Effects

    University essay from Linköpings universitet/Tillämpad matematik; Linköpings universitet/Tekniska fakulteten

    Author : Lukas Börjesson; [2022]
    Keywords : Market risk exposure; non-stationary market risk exposure; non-stationary idiosyncratic risk; factor model; linear regression; linear mixed model; random effects; mixture of gaussians.;

    Abstract : In this thesis, we set out to model the market risk exposure for 251 stocks in the S&P 500 index, during a ten-year period between 2011-04-30 and 2021-03-31. The study brings to light a model not often mentioned in the scientific literature focused on market risk estimation, the linear mixed model. READ MORE

  6. 5. Increased Displacement in Magnetomotive Ultrasound Imaging by Adding a Homogeneous Magnetic Field

    University essay from Lunds universitet/Avdelningen för Biomedicinsk teknik

    Author : Jules Reniaud; [2022]
    Keywords : Technology and Engineering;

    Abstract : Magnetomotive Ultrasound, MMUS, is an imaging modality used to reveal a magnetic contrast agent using an external time-varying inhomogeneous magnetic field. By this, the particles are set in motion, and the motion is detected with ultrasound. READ MORE