Sökning: "CAPM handelshögskolan stockholm"
Visar resultat 21 - 25 av 70 uppsatser innehållade orden CAPM handelshögskolan stockholm.
21. The Asset Pricing Implication on CSI 300 Index China of Monetary Policy Announcement
D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiSammanfattning : Based on Fama-MacBeth method, three stages of regression are conducted to explore the relationship between stock beta and its excess return from 2003 to 2017 on the Chinese stock market in this paper. This thesis aims to explore the effects of monetary policy on the relationship between market beta and average excess return. LÄS MER
22. Investing on the risk of company bankruptcy
C-uppsats, Handelshögskolan i Stockholm/Institutionen för redovisning och finansieringSammanfattning : We investigate the risk-return relationship between bankruptcy risk, measured by Skogsvik (1990)'s probability of firm failure ("pfail"), and stock returns on a refined stock sample on Stockholmsbörsen between 2002 and 2017. Using portfolio analysis and cross sectional regressions inspired by Fama-MacBeth (1973), we find lacking evidence to support a distress risk premium. LÄS MER
23. Value investing; A quest for alpha in the Nordic region - Back-testing the strategies developed by Joel Greenblatt and Joseph Piotroski
C-uppsats, Handelshögskolan i Stockholm/Institutionen för redovisning och finansieringSammanfattning : This thesis evaluates the performance of the Magic formula and F-score. The investment strategies are applied to the entire Nordic region over the period of 2005-2015 and the returns evaluated using the CAPM and Fama & French's three-factor model. LÄS MER
24. Realizing Value - Empirical Evidence on Multivariate Fundamental-based Investment Strategies
D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiSammanfattning : This thesis examines whether fundamental-based indicators can build the foundation of a zero-cost portfolio strategy that earns statistically significant excess returns. Our empirical analysis can be divided in two steps. LÄS MER
25. Benjamin Graham's Stock Selection Criteria: A Study on the Nordic Exchanges
C-uppsats, Handelshögskolan i Stockholm/Institutionen för redovisning och finansieringSammanfattning : The purpose of this thesis is to determine if Benjamin Graham's ten rules for stock selection would have generated abnormal returns on the Nordic stock exchanges between 2001 and 2016. Graham, the father of value investing, considered these rules the most important in finding undervalued companies. LÄS MER