Browsing by Subject "Regime-Switching Model"
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Asymmetric Systematic Risk and Risk Premiums Under a Regime-Switching Model
(2022-04-14)The purpose of this thesis is to identify asymmetry in stocks’ systematic risk and market risk premiums under different financial market regimes. It is assumed that there are two unobserved regimes, bull and bear markets, ... -
Do Socially Responsible Mutual Funds Outperform Non-Socially Responsible Mutual Funds under A Regime-Switching Model?
(2013-12-17)In this thesis, the regime dependent mean and abnormal returns are studied to examine whether socially responsible mutual funds have a different performance from traditional mutual funds, since there may be different ...