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The purpose of this study is to examine the expiration day effect on a stocks volatility due to stock option expiration, which is every third Friday in the month on Stockholm stock exchange. Volatility is the standard deviation of a stock. It measures the uncertainty about a …
en studie av sambandet mellan informationskvalitet och risk
… a relationship between the quality of corporate financial disclosure and the volatility in stock price in the Swedish market. This was carried out by investigating the hypothesis that an accurate annual report with high information quality results in a decrease in volatility …
1919-2003
Purpose The purpose of our study was to investigate the changing nature of volatility during the last 80 years. Like in an American study, we tried to find some trends in the risk of stocks and bonds that would have an impact on the balance of a portfolio of stocks and bonds. At …
… and AR(1)-GJR-GARCH(1,1), and their ability to predict future volatility and thereby providing more reliable estimates for Value-at-Risk. The study is based on daily observations for the return of the OMX Stockholm 30 Index, during the time period 31st December 1996 to 29th …
Historisk simulering som konkurrenskraftig beräkningsmodell
… of this thesis is to examine whether historical simulation with dynamic volatility updating is useful as a model to calculate VaR and how this differs in regard to type of asset or instrument. To carry out the investigation six different models are implemented, which then are …
Abnormala avkastningar på Apple Inc av diverse händelser?
… theory that he called "the opposite strategy", meaning that a high positive volatility is comply with a negative volatility by the same value. Shefrin also note that new information makes overreaction and vice versa. The conclusion that we can make by this research is that new …
en utvärdering under volatil tid
… return, taking management fees into consideration, during times of high volatility when the uncertainty is at its peak. We studied the time period of 2003-2012 where 2008 was by far the most volatile year and in being so was the main focus point for our study. In trying to make …
… face many types of risks when allocating assets in a portfolio, e.g. volatility and inflation risk. Inflation risk will mainly affect investments in the long perspective. This thesis will examine those risks that an investor is commonly exposed to when allocating assets in a …
… between the ESG score of a company, and the financial risk in terms of volatility in the relevant company’s share price. The paper is grounded in sustainability reporting and financial risk. With the world facing significant changes and natural disasters, there is an urgent need …
Träffsäkerheten i analytikers prognoser
… existence of a relation between forecasting ability and forecast horizon, the volatility at Stockholmsbörsen and the industry in which the firm operates. Behavioral finance and economic incentives is used to discuss the most convincing explanations to analysts´ behavior in cases …
… theory on exchange rate risk and trade proposes ambiguous effects of increased volatility. However, the ex ante hypothesis is that developing economies are more sensitive to volatility. Contrarily to the hypothesis, the empirical results suggest that advanced economies would …
På Linux och Android enheter
… om olika sym-boler. Verktyget som används i det här examensarbetet heter Volatility och klarar på papperet avatt extrahera all den information som behövs för att kunna göra en korrekt undersökning.Arbetet avsåg att vidareutveckla existerande metoder för analys av det flyktiga …
a study of correlating factors
… in 2015 and the European dairy market will then be importantly affected by the volatility characterizing the dynamic of world prices. Besides this, the global demand of dairy products is expected to increase due to the growing world population. Farmers in countries such as the …
En studie av marknadens implicita riskpremie i hög- och lågkonjunktur, samt hur den implicita kapitalkostnaden korrelerar med kapitalkostnaden enligt CAPM
… period. We conclude that this is most likely due to changes in actual risk, volatility in the risk preferences of investors, or volatility in the expected mean reversion of abnormal profits. On a company level we have also shown that this implied cost of capital shows a very low …
En studie av skillnaden i lönsamhet mellan starka och svaga varumärken
… and weak brands on the basis of four different profitability ratios, the volatility of these ratios, and the residual income they generate to shareholders. We show that the strong brands give higher return on invested capital and create more shareholder value, while there is no …
