School of Business, Economics and Law / Handelshögskolan: Recent submissions
Visas titlar 121-135 av 135
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A study of the Basel III CVA formula
(2017-07-03)In this thesis we compare the official Basel III method for computing credit value adjustment (CVA) against a model that assumes piecewise constant default intensities for a number of both market and fictive scenarios. CVA ... -
Sustainable Banking: A Closer Look at Scandinavian Banks´Sustainability Activities and Stock Market Performance
(2017-07-03)This thesis investigates announcements of sustainability news in major commercial Scandinavian banks and their effect on stock market performance by conducting a quantitative research method using a standard event study ... -
CATASTROPHE BONDS - An investment analysis of their performance and diversification benefits
(2017-07-03)This thesis employs total return indices to investigate if catastrophe bonds are zero-beta assets and how they have performed compared to other assets. We conduct time series regressions and conclude that catastrophe bond ... -
Performance of Socially Responsible Investment Strategies in Funds During Financial Crises
(2017-07-03)This paper investigates the performance of socially responsible investment (SRI) funds in northern and continental Europe. The study compares SRI funds to non-SRI funds in different market states by analyzing monthly returns ... -
UNDERPRICING IN COLD AND HOT ISSUE MARKETS: Testing the Changing Risk Composition Hypothesis on the Swedish IPO Market.
(2017-06-30)This paper aims to investigate the difference in average first-day return on initial public offerings (IPOs) between the “cold issue” market of 2010-2013 and the “hot issue” market of 2014-2016 on the Swedish IPO market. ... -
An Empirical Evaluation of the Return and Risk Neutrality of Market Neutral Hedge Funds
(2017-06-30)Market neutral is a widely-used investment style for hedge funds. By analysing a data set consisting of 7913 hedge funds, we assess their historical ability to stay neutral towards the U.S. equity market in terms of return ... -
Markets in Financial Instruments Directive II - And its effect on the principal-agent relationship within financial advisory
(2017-06-28)Through an interview based study this thesis investigates how MiFID II, a new EU directive concerning the European Union’s financial markets, will affect the principal-agent relationship currently present between financial ... -
Does financial advisory add value to M&A transactions in the pharmaceutical industry?
(2017-06-28)This study investigated if financial advisors contribute to value creation in M&A transactions in the pharmaceutical industry, using an event study methodology. Based on 294 transactions worldwide between 2012-2016, an ... -
Performance Evaluation of European Green Mutual Funds - Is There an Economic Trade-Off?
(2017-06-27)In this thesis, we investigate the financial performance of European green and conventional mutual equity funds over the 2007 – 2017 period. We applied the Carhart (1997) four-factor model over three different periods, ... -
The Effect of Attention on the Behaviour of Investors Using a Social Trading Platform, Shareville
(2016-07-07)When buying a stock, it is impossible to take hundreds or thousands of stocks into consideration. A way for investors to simplify the search problem is to make the choice from stocks that have caught their attention. ... -
Fund activity and performance: A closer look at the Swedish mutual fund industry
(2016-07-06)This paper investigates the level of fund activity and its e ect on fund performance on the Swedish market. By analyzing fund characteristics between 2005 to 2015, we find that among the active fund alternatives, the ... -
Disclosure Requirements´Effect on Stock Returns of U.S. Listed Natural Resource Extraction Issuers
(2016-07-06)I examine the changes in firm value that oil, natural gas, and mining firms experience as a result of the implementation of the Cardin-Lugar Amendment into U.S. law. Using the traditional event study methodology I observe ... -
How does the market structure in a banking sector affect bank profitability during a financial crisis?
(2016-07-06)This thesis studies how profitability in both emerging and advanced economies is affected by market structure in a financial crisis. The country sample from Mirzaei, Moore, & Liu (2013) is used with a similar methodology, ... -
The Effect of Bond Convexity in Abnormal Volatility
(2016-07-06)According to earlier empirical studies, convexity in the U.S. treasury market is arbitrage-free priced. This paper study whether the arbitrage-free pricing of convexity held even in the financial crisis and the volatile ... -
Performance of hedge fund strategies in bull and bear markets
(2016-07-06)Hedge funds use a wide variety of investment styles, although many people have the perception that they are a relatively homogenous group with similar strategies to generate returns. Understanding the differences in the ...