Sökning: "CAPM handelshögskolan stockholm"

Visar resultat 11 - 15 av 70 uppsatser innehållade orden CAPM handelshögskolan stockholm.

1. 11. In the Periphery of Financial Markets: Asset Pricing of Cryptocurrencies

   C-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Författare :Axel Bryhn; Oscar Gonzales; [2019]
   Nyckelord :asset pricing; cryptocurrency; CAPM; Fama-French three-factor model; Carhart four-factor model;

   Sammanfattning : In this thesis we analyze asset pricing of cryptocurrencies. We try to understand and explain what determines the change in return on individual cryptocurrencies by running time-series regressions on their daily returns. The independent variables included are based on the market, size, value and momentum effect. LÄS MER

3. 12. Is ROCE a factor that affects the stock return?

   C-uppsats, Handelshögskolan i Stockholm/Institutionen för marknadsföring och strategi

   Författare :Maria Markusjan; Binxin Su; [2018]
   Nyckelord :Profitability Factor; ROCE; Fama-French; Factor model;

   Sammanfattning : This study investigates the profitability factor proposed by Novy-Marx through the application of the methodology developed by Fama-French (1993, 2015). It particularly focuses on investigating Return on Capital Employed (ROCE) as a measurement for profitability and how this influences the stock market behaviour adjusted for market risk and size. LÄS MER

4. 13. Equity valuation and the incorporation of investment risk: insights from sell-side analysts

   D-uppsats, Handelshögskolan i Stockholm/Institutionen för redovisning och finansiering

   Författare :Tobias Bengtsson; Daniel Nylund; [2018]
   Nyckelord :Investment risk; Sell-side equity analysts; Equity Valuation; Analyst behavior;

   Sammanfattning : This thesis explores how sell-side equity analysts incorporate investment risk into their valuations and analyses of common stocks. Interviews have been conducted with 20 Swedish analysts from 13 different institutions with the intention of gaining a deeper understanding of their behavior and thought processes. LÄS MER

5. 14. Return Predictability: Can correlation effectively predict returns?

   C-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Författare :Tor Fryer Petersson; Stina Karlsson; [2018]
   Nyckelord :CAPM; Average correlation; Risk-reward trade-off; Return predictability; Roll Critique;

   Sammanfattning : Previous research shows that index variance can be decomposed into average constituent correlation and average constituent variance. These studies hold that the average correlation captures features of the aggregate market risk and under a risk-reward relationship is a predictor of future excess returns. LÄS MER

7. 15. Stock-Price-Based M&A Performance Evaluation of the A-H Dual-Listed Acquirers-- Based on China's A-Share Stock Market and Hong Kong Stock Market

   D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Författare :Yiming Song; Chen Liu; [2018]
   Nyckelord :M A performance; A-H dual-listed companies; A-share market; H-share market; Chinese M A;

   Sammanfattning : Using the data from A-share market and H-share market during 2014 - 2017, this thesis mainly analyzes how stock returns of the acquirers changed before and after the M&A announcements and how the changes were linked to the selected impact factors, such as dual listing, payment method, controlling position or minor position, overseas or domestic, etc. The main method is to use event study method and CAPM to calculate the excess returns of the acquires during M&A event window, then do regression of the impact factors on excess returns. LÄS MER