Sökning: "Conditional CAPM"

Visar resultat 1 - 5 av 13 uppsatser innehållade orden Conditional CAPM.

  1. 1. 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

  2. 2. Return Predictability: Can correlation effectively predict returns?

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

    Författare :Tor Fryer Petersson; Stina Karlsson; [2018]
    Nyckelord :CAPM; Average correlation; Risk-reward trade-off; Return predictability; Roll Critique;

    Sammanfattning : Previous research shows that index variance can be decomposed into average constituent correlation and average constituent variance. These studies hold that the average correlation captures features of the aggregate market risk and under a risk-reward relationship is a predictor of future excess returns. LÄS MER

  3. 3. Nonparametric Asset Pricing with Conditioning Information

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

    Författare :Christoffer Sjöström; Dominik Schmitz; [2018]
    Nyckelord :Conditional Asset Pricing; Nonparametric SDF; Nonlinear Pricing Kernel; Stochastic Discount Factor; Time-varying Betas;

    Sammanfattning : This study sets out to be the very first in introducing the notion of a nonlinear pricing kernel in conditional asset pricing for the Swedish equity market. By implementing a flexible nonparametric methodology, we are able to conduct tests that are completely free from functional form specifications of time-varying betas, risk premia and the stochastic discount factor. LÄS MER

  4. 4. Testing CAPM for the Swedish Stock Market In Order to Capture the Price Expectations - A Comparison Between Conditional CAPM, and Unconditional CAPM

    Master-uppsats, Örebro universitet/Handelshögskolan vid Örebro Universitet; Örebro universitet/Handelshögskolan vid Örebro Universitet

    Författare :Åsa Grek; Abdi Jimaale; [2016]
    Nyckelord :;

    Sammanfattning : .... LÄS MER

  5. 5. Pricing Portfolios Constructed on Cyclicality Considerations Using Non-Domestic Regional Factors: Evidence from Eurozone Region

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Alexandros Spanoudis; Shant Sanossian; [2015]
    Nyckelord :Capital Asset Pricing Model; Fama French Three Factor Models; Conditional Capital Asset Pricing Model; Conditional Fama French Three Factor Models; Cyclical Portfolios pricing; Defensive portfolios pricing; Eurozone; STOXX 600 Europe; Business and Economics;

    Sammanfattning : This research paper tests the traditional market based pricing models and their ability to explain the return on portfolios constructed on cyclicality basis in the Eurozone region. The paper goes beyond the domestic market portfolios (indices) regularly used for asset pricing to the more regional or international approach of asset pricing through using regional market portfolios as a predictor factor as a potential indicator of the Eurozone economic integration level. LÄS MER