Sökning: "Capm alpha term"

Hittade 4 uppsatser innehållade orden Capm alpha term.

  1. 1. Performance of Small- and Large-cap stock portfolios- The importance of market anomalies across business cycles

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Erik Hulth; [2021-06-30]
    Nyckelord :Stock performance; Market anomalies; Asset pricing; Portfolio sorting techniques; Factor-portfolio sorting techniques; Value effect; Size effect; Momentum effect; Temporal influences; Business cycles; GDP-gap; Single-and Multi- Factor models; CAPM; Fama-French Three-Factor model; Carhart Four-Factor model; Risk-adjusted equity returns; Sharpe Ratio; Jensen´s alpha; NASDAQ OMX and NYSE;

    Sammanfattning : This Master´s thesis investigated the importance of the market anomalies size (market capitalization), value (Book-to-Market ratio) and momentum (lagged short-term momentum) for equity returns of small- and large-cap composite stock portfolios. The study focused on two contrasting stock markets (NASDAQ OMX and NYSE) across domestic business cycles over the time-period 2006 to 2021. LÄS MER

  3. 2. An Investment Approach Built on Systematic Risk : A performance analysis based on the characteristics of defensive and cyclical sectors on the Swedish stock market.

    Kandidat-uppsats, Jönköping University/IHH, Nationalekonomi

    Författare :Pontus Bardh; Jacob Haglund; [2021]
    Nyckelord :Defensive; Cyclical; Sectors; CAPM; Beta; Systematic risk; Alpha; Sharpe ratio; Performance; Stock market;

    Sammanfattning : This thesis investigates and compares the performance and characteristics of defensive and cyclical sectors on the Swedish stock market during 2003-2020 and the financial crisis in2007-2008, taking monthly price developments from nine sectors. The purpose is to examine the differences in sector performances based on the estimations of systematic risk. LÄS MER

  4. 3. The Black Litterman Asset Allocation Model : An empirical comparison of approaches for estimating the subjective view vector and implications for risk-return characteristics

    Master-uppsats, Linköpings universitet/Nationalekonomi

    Författare :Viktor Trollsten; Sebastian Olsson; [2018]
    Nyckelord :;

    Sammanfattning : Background In the early 90’s, Black and Litterman extended the pioneering work of Markowitz by developing a model combining qualitative and quantitative research in a delicate optimization process. It allows for a subjective view parameter in a quantitative model and with absent views, the investor will have no reason to deviate from the market equilibrium portfolio. LÄS MER

  5. 4. Active Share in the Swedish Premium Pension System : A Study on Mutual Fund Activity and Performance

    Uppsats för yrkesexamina på avancerad nivå, Företagsekonomi

    Författare :Andreas Rönngren; Ding Xu; [2013]
    Nyckelord :Active Share; tracking error volatility; tracking error; fund performance; alpha; Swedish funds; fund return; mutual equity funds; CAPM; three-factor model; four factor model; pension; Swedish pension system; premium pension; Swedish premium pension system;

    Sammanfattning : We investigate the activity and performance of 64 Swedish registered mutual equity funds available in the Swedish Premium Pension System from October 2002 to December 2011. Fund activity is measured by applying the holdings based analysis Active Share combined with Tracking Error Volatility (TEV). LÄS MER