Sökning: "CAPM handelshögskolan stockholm"

Visar resultat 6 - 10 av 70 uppsatser innehållade orden CAPM handelshögskolan stockholm.

1. 6. Empirical Study on the Performance of Hedge Funds in China

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

   Författare :Weiwei Zhang; [2020]
   Nyckelord :Hedge funds; China; Performance; Persistence; Uncertainty;

   Sammanfattning : China is one of the most popular emerging markets, and the fund management industry has experienced rapid growth during the past decade, especially private funds. Although the regulatory regimes were underdeveloped at first, the government realized that it was important to improve the related regulation to address this problem. LÄS MER

3. 7. A Comparison of Asset Pricing Models on Nordic Markets

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

   Författare :Felix Gardtman; Alexander Käll; [2020]
   Nyckelord :Asset pricing model; Five-factor model; Three-factor model; Market-premium; Size-premium;

   Sammanfattning : This paper applies the Fama and French five-factor model to Nordic stock markets, comparing its performance to the Fama and French three-factor model and CAPM. The five-factor model is not found to outperform the three-factor model or CAPM. LÄS MER

4. 8. The Swedish Value Premium and Disasters: The Missing Piece of the Puzzle?

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

   Författare :Majed Habash; David Öhlund; [2019]
   Nyckelord :The Value Premium; Disasters; Time-varying Risk;

   Sammanfattning : This paper examines the value premium puzzle in Sweden for the period 2002 - 2016 and attempts to explain the puzzle by accounting for time-varying risk exposure with the inclusion of a proxy for financial disasters risk. The value premium is one of the most persistent financial anomalies and the reasons for its existence have been a hot topic for debate over the past years, with more recent research suggesting that it is a form of compensation for higher exposure to harsh economic downturns, or disasters. LÄS MER

5. 9. Liquidity and stock returns: Evidence form Kazakhstan stock market

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

   Författare :Temirlan Izmailov; [2019]
   Nyckelord :Market liquidity; Illiquidity measurement; Stock returns; Exchange rate regime; Global CAPM;

   Sammanfattning : A lot of well-known theorems and asset pricing models are derived from analysis of developed stock exchanges under conditions of absence of transaction costs. Thus, a lot of attention has been given to transaction cost effects on stock return, especially after the financial crisis of 2008. LÄS MER

7. 10. Momentum Returns in Different Market Climates: Evidence from the Pakistani Stock Market

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

   Författare :Ludvig Övergaard; Sebastian Benic; [2019]
   Nyckelord :Momentum Returns; Pakistani Stock Market; Market Climates; Dual Beta;

   Sammanfattning : In our study, we investigate the risk-return relationship under different market-climates for the momentum strategy on the Pakistan stock exchange (PSX) between February 1999 and February 2019. We test three strategies with different formation/holding-periods; 3/3, 6/6 and 12/3. We use a single-factor model (CAPM) to analyze these relationships. LÄS MER