Sökning: "CAPM handelshögskolan stockholm"

Visar resultat 16 - 20 av 70 uppsatser innehållade orden CAPM handelshögskolan stockholm.

1. 16. Factor Investing and Macroeconomic Risk

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

   Författare :Pascal Buehrig; [2018]
   Nyckelord :Factor Investing; Macroeconomic Risk; APT; CAPM; Fama French;

   Sammanfattning : This thesis examines the influence of macroeconomic risk on simple investment strategies related to the well-known risk factors size, value and momentum. Based on a sample of 25,224 stocks from ten different countries, quarterly returns between 1999 and 2016 have been analyzed with fixed-effect regression models. LÄS MER

3. 17. Nonparametric Asset Pricing with Conditioning Information

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

   Författare :Christoffer Sjöström; Dominik Schmitz; [2018]
   Nyckelord :Conditional Asset Pricing; Nonparametric SDF; Nonlinear Pricing Kernel; Stochastic Discount Factor; Time-varying Betas;

   Sammanfattning : This study sets out to be the very first in introducing the notion of a nonlinear pricing kernel in conditional asset pricing for the Swedish equity market. By implementing a flexible nonparametric methodology, we are able to conduct tests that are completely free from functional form specifications of time-varying betas, risk premia and the stochastic discount factor. LÄS MER

4. 18. Speculative Betas in Europe - Based on Evidence from Western European Stocks and Bonds

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

   Författare :Bence Földi; Tiran Zhao; [2018]
   Nyckelord :Asset pricing; Heterogeneous beliefs; Disagreement; Speculative betas; Security Market Line;

   Sammanfattning : We find and present compelling evidence to reject the classic one-regime CAPM Security Market Line based on data from developed European equity markets which we proxy by taking the original 12 members of the euro area combined with the UK. We construct a bottom-up measure for aggregate disagreement which we prove to negatively influence the curvature of the Security Market Line. LÄS MER

5. 19. On the performance of sustainable funds during periods of crisis and non-crisis A quantitative study of the performance of sustainable funds from 2005 to 2013 in Sweden.

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

   Författare :Pia Lundkvist; Viktoria Nacksten; [2018]
   Nyckelord :sustainability; sustainable funds; conventional funds; Sweden; financial performance;

   Sammanfattning : This thesis examines the financial performance of sustainable and conventional funds during the global financial crisis (2008/01-2010/12) and the time period before (2005/01-2007/12) and after (2011/01- 2013/12) the crisis. Our hypothesis is that sustainable funds perform slightly worse than conventional funds in periods of non-crisis and slightly better than conventional funds in periods of crisis. LÄS MER

7. 20. Models explaining the average return on the Stockholm Stock Exchange

   Kandidat-uppsats, Högskolan i Jönköping/Internationella Handelshögskolan

   Författare :Jämtander Jämtander; [2018]
   Nyckelord :Asset Pricing Model; P E ratio; CAPM; Market Efficiency; Market return; risk-free rate; Anomaly; Behavioral finance; Fama-French Three Factor Model; Fama-French Four Factor Model; Stockholm Stock Exchange; Market value; Book-to-market value; Portfolio; OLS-regression;

   Sammanfattning : Using three different models, we examine the determinants of average stock returns on the Stockholm Stock Exchange during 2012-2016. By using time-series data, we find that a Fama-French three-factor model (directed at capturing size and book-to-market ratio) functions quite well in the Swedish stock market and is able to explain the variation in returns better than the traditional CAPM. LÄS MER