Det förbryllande sambandet mellan risk och avkastning : En studie av de nordiska finansiella marknaderna

Sammanfattning:

Purpose: The purpose of the study is to in a comparative and causal way explore whether there is a relationship between risk and return and also how it is perceived on the Nordic financial markets.

Theory: The theoretical frame of reference applied in the thesis is considered relevant inthe perspective of the study’s purpose and research questions. We have among other theories used The Capital Asset Pricing Model, The Efficient Market Hypothesis and various Behavioural finance theories.

Method: The study has its starting point in a quantitative approach with a quantitative data analysis supported by secondary data extracted from Thomson Reuters.

Empirics: The empirics contains regression analyses made from calculated secondary data of 240 randomly chosen companies from Nasdaq OMX Stockholm, NasdaqOMX Copenhagen, Nasdaq OMX Helsinki and Oslo Bors.

Conclusion: The study conclusions show that there are both a negative and positive relationship between volatility and actual return on the investigated markets. Considering this prior statement we can conclude that the Capital Asset Pricing Model can’t correctly describe the actual relationship between the parameters investigated on the current sample. The Capital Asset Pricing Model’s unclear compatibility regarding the relationship makes it impossible to make conclusions about the Efficient Market Hypothesis on any other ground than the observed abnormal return.