Browsing by Author "Persson, Christian"
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Can Vice be Vindicated? Examining a potential value premium in vice stocks using Fama and MacBeth regressions - a comparison across three different factor models
Johansson, Anton; Persson, Christian (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 ... -
Quantitative tactical asset allocation: Using the VIX to exploit bull and bear market movements in a Mean-Variance portfolio
Persson, Christian; Williams, Robin (2020-07-08)The Chicago Board Options Exchange (CBOE) Volatility Index (VIX) is known as being an indicator of fear, often referred to as the fear index. Low volatility indicates tranquility in the market, whereas high volatility ...