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The Informational Role of Implied Volatility : Examining the relation between implied volatility and S&P 100 returns around FOMC announcements
(2020-06-08)
Pro gradu -tutkielma
Pro gradu -tutkielma
Volatility has been a widely discussed subject in financial research and many papers consider it synonymous with the risk of an investment. However, further research has revealed that besides exhibiting the level of risk, ...
Momentum in smart beta exchange-traded funds
(2020-04-27)
Pro gradu -tutkielma
Pro gradu -tutkielma
Momentum is one of the most puzzling pricing anomalies discussed in the academic literature as past returns should not predict future returns under the efficient market theory. Asset pricing models have failed to explain ...
ENVIRONMENTAL RESPONSIBILITY AND FIRM FINANCIAL PERFORMANCE IN THE NORDIC COUNTRIES
(2020-05-06)
Pro gradu -tutkielma
Pro gradu -tutkielma
Increasing attention of media and the public towards climate change issues and ongoing legislative procedures such as EU ETS and EU Action Plan are pressuring firms to act on behalf of a more sustainable future. As ...
Long-Term Return Reversal and Fundamental Strength
(2020-03-26)
Pro gradu -tutkielma
Pro gradu -tutkielma
Past return-based strategies, such as reversal and momentum, have been widely discussed in academic papers. In reversal strategies, such as long-term return reversal which was first presented by De Bondt and Thaler (1985), ...
Forecasting realized volatility in Nord Pool electricity market
(2020-04-27)
Pro gradu -tutkielma
Pro gradu -tutkielma
Electricity markets, like other commodity markets, offer many opportunities for their participants, but their high volatility and the unstorable nature of electricity makes them quite different. Due to the high volatility, ...
IMPACT OF OPERATIONAL RISK ON BANK CAPITAL ADEQUACY: EUROPEAN EVIDENCE
(2020-04-10)
Pro gradu -tutkielma
Pro gradu -tutkielma
The purpose of this thesis is to study the effect of European banks’ operational risk on
their capital adequacy. Thesis distinguishes between observed data published by the
European Banking Authority and adverse economic ...
Smart beta investing in the Nordic stock market
(2020-03-23)
Pro gradu -tutkielma
Pro gradu -tutkielma
This study explores the risk and return characteristics of different smart beta strategies in the Nordic stock markets. The aim is to investigate the risk adjusted returns of smart beta portfolios constructed to mimic ...
ESG Rating and Corporation Financing Costs: Evidence from Nordic Countries
(2020-12-01)
Pro gradu -tutkielma
Pro gradu -tutkielma
According to the United Nations Sustainable Stock Exchange, all listed firms are expected to disclose their impact from environmental, social, and governance (ESG) practice by 2030 at the latest. The search for a relationship ...
Investor Sentiment and Risk-Managed Factor Momentum
(2020-04-24)
Pro gradu -tutkielma
Pro gradu -tutkielma
This thesis studies how investor sentiment affects the performance of factor momentum. The purpose is to understand whether factor and factor momentum returns are driven by mispricing. Additionally, this thesis tests whether ...
Firm-level political risk and corporate credit default swap spreads : Evidence from Europe
(2021-10-07)
Pro gradu -tutkielma
Pro gradu -tutkielma
The purpose of this thesis is to examine the relationship between firm-level political risk and European corporate credit default swap spreads. Existing theory models political risk as a mostly systematic type of risk which ...