Search for dissertations about: "Beta stock"

Found 4 swedish dissertations containing the words Beta stock.

  2. 1. On the Importance of Accounting Information for Stock Market Efficiency

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

    Abstract : 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. READ MORE

  4. 2. Essays in Empirical Finance: Volatility, Interdependencies, and Risk in Emerging Markets

    Author : Anders C Johansson; Göteborgs universitet; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Emerging markets; Asia; China; Stock markets; Bond markets; Exchange rates; Causality; Cointegration; Multivariate GARCH; Dynamic correlation; Timescales; Wavelet analysis; Heterogeneous markets; Multivariate stochastic volatility; Markov chain Monte Carlo; Country risk; Conditional beta;

    Abstract : The four essays in this thesis deal with emerging markets and their empirical characteristics. They mainly explore the relationship among different markets and the thesis cover several asset classes, including stocks, bonds, and exchange rates. READ MORE

  5. 3. Empirical studies of portfolio choice and asset prices

    Author : Björn Lagerwall; Handelshögskolan i Stockholm; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

    Abstract : This thesis contains empirical studies of portfolio choice and asset prices. The first two chapters deal with incorporating labor supply into models traditionally only focusing on consumption. Can the risk premium on stocks be better understood when taking labor supply into account? This is the topic of the first chapter. READ MORE

  6. 4. Copula-based Portfolio Optimization

    Author : Maziar Sahamkhadam; Andreas Stephan; Håkan Locking; Ranadeva Jayasekera; Linnéuniversitetet; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Copula; portfolio optimization; conditional Value-at-Risk; vine copulas; asymmetric tail dependence; Black-Litterman approach; expectile Value-at-Risk; multiobjective portfolios; Business administration; Företagsekonomi;

    Abstract : This thesis studies and develops copula-based portfolio optimization. The overall purpose is to clarify the effects of copula modeling for portfolio allocation andsuggest novel approaches for copula-based optimization. The thesis is a compilation of five papers. READ MORE