Sökning: "Arbitrage Pricing Theory APT"

Hittade 5 uppsatser innehållade orden Arbitrage Pricing Theory APT.

  1. 1. Makroekonomiska effekter på den svenska aktiemarknaden - En analys av makroekonomiska variablers påverkan på OMXS30 via Arbitrage Pricing Theory

    Kandidat-uppsats,

    Författare :Gunnar Engberg; Jonathan Magnusson; [2022-07-01]
    Nyckelord :Arbitrage Pricing Theory APT ; OMXS30; aktieavkastning; makroekonomiska variabler; makroekonomiska faktorer; multifaktormodell; Augmented Dickey-Fuller ADF ;

    Sammanfattning : The aim of the thesis is to examine the relationship between five macroeconomic variables and the index on the Stockholm Stock Exchange, OMXS30, which includes the 30 most traded companies. The macroeconomic variables include industrial production index, inflation, unemployment, the exchange rate and the two year government bond rate. LÄS MER

  3. 2. Modellering av diskonteringsränta avseende skogliga investeringar med CAPM och APT

    Kandidat-uppsats, Linnéuniversitetet/Institutionen för skog och träteknik (SOT)

    Författare :Richard Toss; [2021]
    Nyckelord :Capital Asset Pricing Model; Arbitrage Pricing Theory; Timberland; Inflation;

    Sammanfattning : Med hjälp av årlig prisstatistik avseende försäljningar av skogsfastigheter (1995-2020) bedömer studien skogliga investeringars marknadsrisk samt estimerar dess diskonteringsränta. Analysen sker inom de teoretiska ramverken Capital Asset Pricing Theory (CAPM) samt Arbitrage Pricing Theory (APT). LÄS MER

  4. 3. Arbitrage Pricing Theory: A study on the Stockholm Stock

    Kandidat-uppsats, Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Författare :Richard Johansson; Pierre Petersson; [2019-03-01]
    Nyckelord :Arbitrage Pricing Theory; APT; Stockholm Stock Exchange; Macroeconomic Factors; Multi Factor Model;

    Sammanfattning : This thesis investigates the macroeconomic factors that affect the returns on the different portfolios in Stockholm Stock Exchange by using Arbitrage Pricing Theory (Stephen Ross 1976). We use the portfolios of Large Cap, Mid Cap, Small Cap, and All Caps. Specifically, multiple index model is used. The sample period is 2012-2017. LÄS MER

  5. 4. A Study on Exchange Rate Exposure of Chinese Banks

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Juan Li; Susan Delport; [2009]
    Nyckelord :APT; Chinese Banks; RMB; exchange rate exposure; foreign exchange risk; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

    Sammanfattning : For banks to adjust to the changing financial environment, it is essential to understand how the foreign exchange market impacts them. The purpose of this master thesis is to evaluate the effect of exchange rates movement on fourteen listed Chinese banks’ equity returns, by using the Arbitrage Pricing Theory Model. LÄS MER

  7. 5. Crouching Tiger Hidden Success? : A Futurology of the Chinese Stock Market

    Magister-uppsats, Institutionen för ekonomi och företagande

    Författare :Lulu Li; Linda Malmström; [2006]
    Nyckelord :APT; Chinese stock market; forecast;

    Sammanfattning : This Master’s Degree is a futurology that aims to analyse how the Chinese stock market might develop for a period of ten years, i.e. between the years 2005-2015. Since the future never with certainty can be predicted, scenarios will be presented displaying other possible outcomes. LÄS MER