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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 ... -
A Study of the Size and Value effect on the Stockholm Stock Exchange - Are there pricing anomalies present on the Stockholm Stock Exchange?
(2019-07-09)This thesis evaluates the financial performance of Swedish small cap stocks over the period 2000-2016. By applying CAPM and the Carhart four-factor model, we find no evidence for a size or a value effect. Furthermore, the ... -
A Wolf In Sheep's Clothing, A study about potential closet indexing in the Swedish equity mutual fund industry.
(2020-08-20)We measure the activity of Swedish domiciled equity mutual funds with Sweden as geographical investment universe, by calculating their active share with respect to major market indices like OMX30 GI and OMX Small Cap TR ... -
Abnormal returns for IPOs on the Swedish stock exchange
(2021-06-28)We examine the occurrence of underpricing and short-term performance of a sample of 216 Swedish IPOs between 2017-2021. The theories used are the Efficient Market Hypothesis, Underpricing, Information asymmetry which ... -
Abnormal returns from insider trading - does insider trading generate abnormal returns for the Swedish stock exchange and large cap Stockholm?
(2022-07-11)This paper studies insider trading and abnormal returns on the Large Cap list of the Swedish stock exchange using a sample of 119 firms and 10528 individual transactions between the period 2016-2022. The study is built on ... -
Accuracy of Analysts' Earnings Estimates
(2019-07-05)This thesis investigates consensus and individual analyst firm accuracy in forecasts of earnings per share (EPS) for U.S. stocks in 2009–2018. Moreover, we investigate if the analysts’ forecasting predictiveness is affected ... -
An analysis of the usage of preferred stock in Sweden
(2018-06-29)This paper aims to explain why the few issuers of preferred stock in Sweden have chosen to issue this historically unpopular instrument. We examine characteristics of the issuers of preferred stock related to two possible ... -
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 ... -
An Empirical Study of CAPM, the Fama-French three-factor and the Fama-French five-factor Model - A Study Performed on the Swedish Stock Market.
(2019-06-26)This thesis aims to add further research about the Fama-French five-factor model and its ability to explain average returns on the Swedish Stock Market. Additionally, the study also investigates and compares the performance ... -
Analys av kredit- och ränterisk över konjunkturcykler - En studie av amerikanska företagsobligationer
(2019-07-09)In recent years, the market for US corporate bonds has recovered from the financial crisis in 2008. Since the credit spread is of great importance to many stakeholders, this thesis has been written with the purpose to ... -
En analys i prestation och aktiv förvaltning mellan svenska large- och small-cap fonde
(2021-06-23)The aim of this thesis is to explore whether there is a significant difference between Swedish large- and small-cap mutual funds. The study will examine each fund’s performance compared to one another. To investigate the ... -
Analyzing investments made in conjunction with the announcement of rights issues between 2014-2018
(2020-07-03)Rights issues are a common way for companies to attain funding. The rights to buy stocks are usually sold with a discount to the investor. The goal of this essay is to study price movements associated with the announcement ... -
Application of the Kelly Criterion on a Self-Financing Trading Portfolio -An empirical study on the Swedish stock market from 2005-2015
(2017-07-05)A Kelly strategy theoretically optimizes the growth rate of investor’s capital. This paper evaluates its usefulness on the Swedish stock market between 2005 and 2015 by comparing returns to that of common portfolio strategies ... -
Asymmetriska relationer mellan kunder och finansiella rådgivare. En studie av hur kunders finansiella kunskapsnivåer påverkar relationen och hur MiFID II avser att hantera asymmetriproblematiken
(2017-07-04)Both demand and supply of financial advice are increasing because of the complexity of financial products and people’s difficulty in making economic decisions. Previous research has identified asymmetries between customers ... -
Är OMXS 30 effektiv enligt den semi-starka formen av den effektiva marknadshypotesen?
(2022-07-01)Den effektiva marknadshypotesen gör gällande att informationen som offentliggörs på marknaden skall vara tillgänglig samt bedömas på ett rationellt sätt av investerare. Däremot så är antagandet om ett rationellt beteende ... -
Bitcoin - is it worth our dime? Bitcoin's effect on portfolio returns and its properties in a Swedish setting.
(2022-07-04)Bitcoin made its way into the consciousness of investors and the general public around 2015. Growing in popularity from there and inspiring the creation of many other crypto currencies along the way, it has been subject ... -
Bolånefondernas påverkan på marknadskoncentrationen
(2020-07-02)This thesis aims to add further research about the mortgage market in Sweden. In particular, it investigates the effect on the concentration level as a result of the establishment of new entities, which are using mortgage ... -
Can Vice be Vindicated? Examining a potential value premium in vice stocks using Fama and MacBeth regressions - a comparison across three different factor models
(2018-07-12)In this paper, we examine a 30-year period to find whether vice (defined as operations in the alcohol, tobacco, gambling, adult services, and weapons and defense industries) plays a role in determining returns of individual ... -
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 ... -
CEO Compensation and Company Performance - Evidence From Sweden
(2019-07-09)Compensation to CEOs has increased dramatically over the past decades. This increase over time raises the question of its justifiability. The direct costs of CEO compensation shall be considered in light of the value added ...