Search for dissertations about: "Asset pricing models"

Showing result 1 - 5 of 26 swedish dissertations containing the words Asset pricing models.

  1. 1. Empirical asset pricing and investment strategies

    University dissertation from Stockholm : Economic Research Institute, Stockholm School of Economics [Ekonomiska forskningsinstitutet vid Handelshögskolan i Stockholm] (EFI)

    Author : Krister Ahlersten; Handelshögskolan i Stockholm.; [2007]
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Asset Pricing; Decoupling; Equity Premium; Investment Strategies; Portfolio Choice; Portfolio Optimization; Predictability; Regime-Switching Models; Smooth Transition Regressions; Structural Breaks; Time-Series Models; Aktieanalys; SOCIAL SCIENCES Business and economics; SAMHÄLLSVETENSKAP Ekonomi;

    Abstract : This thesis, “Empirical Asset Pricing and Investment Strategies”, examines a number of topics related to portfolio choice, asset pricing, and strategic and tactical asset allocation. The first two papers treat the predictability of asset returns. READ MORE

  2. 2. Essays in empirical asset pricing

    University dissertation from Stockholm : Economic Research Institute, Stockholm School of Economics (EFI)

    Author : Johan Parmler; Handelshögskolan i Stockholm.; [2005]
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Asset pricing models; Model selection; Bayesian econometrics; Pristeori; Prisbildning; Ekonometri; SOCIAL SCIENCES Business and economics Economics; SAMHÄLLSVETENSKAP Ekonomi Nationalekonomi;

    Abstract : Capital Asset Pricing Model (CAPM) is the most widely used model in asset pricing. This model evaluates the asset return in relation to the market return and the sensitivity of the security to the market. However, the evidence supporting the CAPM is mixed. READ MORE

  3. 3. Evaluating Asset-Pricing Models in International Financial Markets

    University dissertation from Lunds Universitet

    Author : Fadi Zaher; Lunds universitet.; Lund University.; Högskolan i Skövde.; Högskolan i Skövde.; [2006]
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Financial science; ekonomisk politik; Finansiering; ekonomiska system; economic policy; Nationalekonomi; ekonometri; economic theory; economic systems; econometrics; Hansen-Jagannathan bounds; equity premium puzzle; Forecasting methods; asset-pricing models; ekonomisk teori; Economics; bootstrap.; short-sales constraint; SOCIAL SCIENCES Business and economics; SAMHÄLLSVETENSKAP Ekonomi; Humaniora-samhällsvetenskap; Humanities and Social sciences; financial science; Hansen-Jagannathan boundsequity premium puzzle; bootstrap; finansiering; nationalekonomi;

    Abstract : This thesis consists of three empirical studies on asset-prices in international financial markets. The purpose is three-fold. First, to evaluate whether good predictions of economic variables may be obtained by pooling information from a broad group of financial variables. READ MORE

  4. 4. Asset Pricing Models with Stochastic Volatility

    University dissertation from Västerås : Mälardalen University

    Author : Jean-Paul Murara; Mälardalens högskola.; [2016]
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Mathematics Applied Mathematics; matematik tillämpad matematik;

    Abstract : Asset pricing modeling is a wide range area of research in Financial Engineering. In this thesis, which consists of an introduction, three papers and appendices; we deal with asset pricing models with stochastic volatility. Here stochastic volatility modeling includes diffusion models and regime-switching models. READ MORE

  5. 5. International Asset Pricing, Diversification and Links between National Stock Markets

    University dissertation from Department of Economics, Lund Universtiy

    Author : Birger Nilsson; Lunds universitet.; Lund University.; [2002]
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Nationalekonomi; economic policy; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Financial science; Finansiering; economic systems; economic theory; Economics; econometrics; Simulated Annealing; Capital Market Liberalization; International Asset Pricing; Diversification;

    Abstract : This thesis consists of three self-contained empirical studies on international financial economics. The common economic theme is that all three studies deal with international stock market return and risk. READ MORE