Essays about: "volatility of stock returns"

Showing result 41 - 45 of 148 essays containing the words volatility of stock returns.

  1. 41. Accelerate your returns? An examination of Earnings Acceleration and a range of other earnings-related stock market anomalies - The Swedish Case

    University essay from Handelshögskolan i Stockholm/Institutionen för redovisning och finansiering

    Author : Hugo Karlsson; Majuran Jeganmohan; [2020]
    Keywords : Earnings Acceleration; Stock Market Anomalies; Market Efficiency; Fundamental Analysis; Earnings;

    Abstract : In this study, we aim to explore whether an investor can use earnings acceleration (EA), defined as quarterly change in earnings growth, to construct a viable trading strategy that is able to separate future winners and future losers on the Swedish stock market. Using a sample from 2004 to 2016, we document that a trading strategy that goes long in top decile EA stocks and short in bottom decile EA stocks is unable to generate abnormal returns in both the month- and quarter-long windows. READ MORE

  3. 42. Portfolio Optimization : A DCC-GARCH forecast with implied volatility

    University essay from Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO)

    Author : Sam Bigdeli; Filip Bengtsson; [2019]
    Keywords : DCC-GARCH; Portfolio Optimization; Certainty Equivalence Tangency; CET; Global Minimum Variance; GMV; Minimum Conditional Value-at-Risk; MinCVaR; Implied volatility index; VIX;

    Abstract : This thesis performs portfolio optimization using three allocation methods, Certainty Equivalence Tangency (CET), Global Minimum Variance (GMV) and Minimum Conditional Value-at-Risk (MinCVaR). We estimate expected returns and covariance matrices based on 7 stock market indices with a DCC-GARCH model including an ARMA (1. READ MORE

  4. 43. The predictive power of stock style: size, value-growth orientation and the shape of the future return distribution

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Eoin Gallagher; Dmitry Tanazhko; [2019]
    Keywords : Return predictability; Stock size; Stock valuation; Skewness; Morningstar;

    Abstract : While there has been extensive research trying to explain the variability in the cross-section of expected stock returns, the predictability of other shape characteristics of the future return distribution is a less studied subject. This thesis investigates the relationship between the size and value-growth orientation of stocks (as measured according to Morningstar) and the shape parameters of their future returns. READ MORE

  5. 44. Forecasting Volatility on Swedish Stock Returns : A study comparing the performance of different volatility forecasting models

    University essay from Umeå universitet/Nationalekonomi

    Author : Emil Collin; [2019]
    Keywords : ;

    Abstract : This study aims to find the model which generates the best volatility forecasts of single stock returns on the Swedish Market. The models are estimated using an in-sample dataset of daily observations from 2010.01.01 to 2018. READ MORE

  6. 45. Volatility of Bitcoin in a European Context

    University essay from Lunds universitet/Statistiska institutionen

    Author : Emilia Sjöberg; [2019]
    Keywords : GARCH; IGARCH; GRJ-GARCH; Jumps; Bitcoin; cryptocurrency; European market; Laplace distribution; Mathematics and Statistics;

    Abstract : In 2009, Bitcoin was introduced to the world. Today, ten years later, there are still gaps in the research of how to model the cryptocurrency. In this thesis, the capacities of different volatility models to capture the high volatility of Bitcoin returns are investigated. READ MORE