Essays about: "volatility anomaly"

Showing result 6 - 10 of 14 essays containing the words volatility anomaly.

  1. 6. Testing the Adaptive Markets Hypothesis : An examination of the variability of the risk-return trade-off over time and in different market environments

    University essay from Södertörns högskola/Företagsekonomi

    Author : Steve Sherlock; [2018]
    Keywords : Adaptive markets hypothesis; risk-return trade-off; volatility anomaly; market environment;

    Abstract : A new hypothesis, The Adaptive Markets Hypothesis (AMH), is applied to the Swedish stockmarket context by testing the variability of the risk-return trade-off over different investment horizons and market environments. Yearly returns and volatility are measured on OMXS30 index between1986 and 2017 over a variety of different investment horizons. READ MORE

  3. 7. A Study on the Low Volatility Anomaly in the Swedish Stock Exchange Market : Modern Portfolio Theory

    University essay from Linköpings universitet/Nationalekonomi; Linköpings universitet/Fysik och elektroteknik

    Author : George Abo Al Ahad; Denis Gerzic; [2017]
    Keywords : Fama and Macbeth; Fama and French; Low Volatility Anomaly; Stock; Market; Portfolio Theory; CAPM; Econometrics; Expected return forecasting;

    Abstract : This study investigates, with a critical approach, if portfolios consisting of high beta stocks yields more than portfolios consisting of low beta stocks in the Swedish stock exchange market. The chosen period is 1999-2016, covering both the DotCom Bubble and the financial crisis of 2008. READ MORE

  4. 8. The Low Risk Anomaly Evidence from Sweden

    University essay from Göteborgs universitet/Graduate School

    Author : Anton Brodén; Jonathan Fransson; [2015-07-13]
    Keywords : ;

    Abstract : This paper finds that the low risk anomaly is present on NASDAQ OMX Stockholm during January 2005 until December 2014. The result has been produced with a survivorship bias-free sample, consisting of 25 108 firm-month observations in total. READ MORE

  5. 9. Factor return predictability: A comparison of multivariate forecasts of the Size, Value, Momentum, and Low Volatility premia

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Francesco Chincoli; [2015]
    Keywords : Risk Premium; Factor Return Predictability; Forecast Accuracy; Regime Switching;

    Abstract : This paper studies the predictive performance of multivariate models in forecasting joint returns of portfolios tracking the Size, Value, Momentum, and Low Volatility premia. We run recursive out-of-sample forecasting experiments on a number of linear and regime switching models, and compare the accuracy of their point predictions in a qualitative and quantitative fashion. READ MORE

  6. 10. Winning with IVOL

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Anton Kristiansson; Sebastian Vogel; [2015]
    Keywords : idiosyncratic risk; asset pricing; stochastic discount factor; limits to arbitrage; IVOL;

    Abstract : Idiosyncratic volatility has an increasing effect on returns. This increasing effect is strongest for small stocks, which can be explained by investors' underdiversification. Previous studies that found a decreasing effect did not control for the low-beta anomaly. READ MORE