Sökning: "Stock Returns"

Visar resultat 21 - 25 av 98 avhandlingar innehållade orden Stock Returns.

1. 21. Liquidity and Portfolio Optimisation

   Författare :Björn Hagströmer; Jane M. Binner; Aston University Aston Business School; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; stock market; liquidity; systematic liquidity; portfolio optimisation; high-frequency data; Economics; Nationalekonomi;

   Sammanfattning : This thesis presents research within empirical financial economics with focus on liquidity and portfolio optimisation in the stock markets. The discussion on liquidity is focussed on measurement issues, including TAQ data processing and measurement of systematic liquidity factors. LÄS MER

3. 22. On the Importance of Accounting Information for Stock Market Efficiency

   Författare :Jiri Novak; Jan-Erik Gröjer; Mattias Hamberg; Mats Åkerblom; Colin Clubb; Uppsala universitet; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Business studies; accounting; capital makets; efficiency; momentum; liquidity; accounting conservatism; transitory earnings; IFRS; goodwill; Sweden; Företagsekonomi; Business studies; Företagsekonomi;

   Sammanfattning : This thesis contributes to the discussion on the importance of accounting information for stock market efficiency. As any analysis of market efficiency depends on the use of adequate risk proxies, the thesis first investigates the ability of commonly used risk factors to explain the cross-sectional variation of Swedish stock returns. LÄS MER

4. 23. Essays on Credit Risk

   Författare :Caren Guo Nielsen; Nationalekonomiska institutionen; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Asset pricing; equity returns; size effect; value effect; momentum effect; credit risk effect; credit default swap; banks; asset risk; credit risk; portfolio choice; risk-based capital regulation; bank bailouts; moral hazard; distress risk; capital injections; TARP; CPP; market discipline; financial crisis;

   Sammanfattning : This dissertation covers the issues related to credit risk that stem from the recent financial crisis and that are concerned by investors, financial intermediaries, and governments. The results of the research have important implications for asset managers, such as using the information from the credit risk market to rebalance stock portfolios, and for policy makers in regulating or bailing out banks. LÄS MER

5. 24. Essays on systemic risk and financial market volatility

   Författare :Dominika Krygier; Nationalekonomiska institutionen; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; systemic risk; Volatility; Volatility forecasting; Bitcoin; implicit guarantees; Financial stability; Leverage; Value-at-Risk; CoVaR; networks; Centrality; interconnectedness; Financial crisis; Stock market; Banks; Financial Markets;

   Sammanfattning : This doctoral thesis consists of four independent research papers. All papers are empirical and cover the area of financial market risk, with a particular focus on systemic risk and volatility in financial markets. LÄS MER

7. 25. Essays on Prospect Theory and the Statistical Modeling of Financial Returns

   Författare :Martin Ågren; Annika Alexius; Rolf Larsson; Enrico De Giorgi; Uppsala universitet; []
   Nyckelord :Economics; Nationalekonomi;

   Sammanfattning : This thesis consists of three self-contained essaysEssay 1 presents an empirical study of volatility spillover from oil prices to stock markets within an asymmetric BEKK model. Using weekly data on the aggregate stock markets of Japan, Norway, Sweden, the U.K., and the U. LÄS MER