Search for dissertations about: "Return Predictability"

Showing result 1 - 5 of 10 swedish dissertations containing the words Return Predictability.

2. 1. Predictability in Equity Markets: Estimation and Inference

   Author : Tamás Kiss; Erik Hjalmarsson; Ádám Faragó; Göteborgs universitet; []
   Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Non-stationary regressor; Persistence Adjustment; Predictive Regressions; Predictive System; Present-value relationship; Return Predictability; Stock-return Predictability; Non-stationary regressor Persistence Adjustment Predictive Regressions Predictive System Present-value relationship Return Predictability Stock-return Predictability;

   Abstract : The thesis consists of three chapters dealing with predictability in equity markets. The first chapter analyses predictive regressions in a predictive system framework, where the predictor is an imperfect proxy for the expected returns. READ MORE

4. 2. Empirical tests of exchange rate and stock return models

   Author : Anna Lindahl; Göteborgs universitet; []
   Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Foreign exchange order flow; Microstructure; Stock return predictability;

   Abstract : Abstracts to ”Empirical tests of exchange rate and stock return models” Order flow in the Foreign Exchange Market Price discovery in foreign exchange markets is explored using Swedish data including trades from both the customer and the interdealer market. The data set represents a majority of all executed trades in the EURSEK exchange rate over a four-year time period. READ MORE

5. 3. Bringing predictability into a geometallurgical program : An iron ore case study

   Author : Viktor Lishchuk; Bertil Pålsson; Cecilia Lund; Pertti Lamberg; Jennifer Broadhurst; Luleå tekniska universitet; []
   Keywords : TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; Additivity; Apatite iron ore; AIO; Block model; Change of support; Classification; Data integration; DT; Feed quality; Geometallurgical program; Geometallurgy; Iron ore; Iron recovery; Leveäniemi; Liberation; Machine learning; Magnetic separation; Malmberget; Mineralogical approach; Mineralogy; Prediction; Proxies; Proxies approach; Sampling; Simulation; Synthetic ore body; Traditional approach; WLIMS; Mineral Processing; Mineralteknik;

   Abstract : The risks of starting, operating and closing mining projects have become higher than ever. In order to stay ahead of the competition, mining companies have to manage various risks: technical, environmental, legal, regulatory, political, cyber, financial and social. Some of these can be mitigated with the help of geometallurgy. READ MORE

6. 4. Essays on Stock Market Integration - On Stock Market Efficiency, Price Jumps and Stock Market Correlations

   Author : Yuna Liu; Tomas Sjögren; Jörgen Hellström; Mikael Bask; Umeå universitet; []
   Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Time-varying return predictability; Tests for jumps; International financial markets; Market structure; Common trading platform; Integration; Time-varying correlation; C-GARCH; Trust; Portfolio Diversification; Stock Market Participation; nationalekonomi; Economics;

   Abstract : This thesis consists of four self-contained papers related to the change of market structure and the quality of equity market.In Paper [I] we found, by using of a Flexible Dynamic Component Correlations (FDCC) model, that the creation of a common cross-border stock trading platform has increased the long-run trends in conditional correlations between foreign and domestic stock market returns. READ MORE

7. 5. Information and financial markets

   Author : Stefan Anchev; Jörgen Hellström; Rickard Olsson; Juha-Pekka Kallunki; Umeå universitet; []
   Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Information; dissemination of information; production of private information; information disadvantage; investor base; stock return anomalies; stock price informativeness; quantity of firm disclosure; less sophisticated individual investors;

   Abstract : The results in this thesis are consistent with the hypotheses that: 1) the incomplete dissemination of information across investors helps in explaining the occurrence and the persistence of cross-sectional stock return anomalies, 2) the properties of the investor base of a stock have implications for the informativeness of the stock's price and 3) a greater quantity of firm disclosure places less sophisticated investors at an information disadvantage. Overall, the thesis provides new empirical evidence about the role of information in financial markets. READ MORE