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  1. 1. 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