Sökning: "Conditional CAPM"

Visar resultat 11 - 15 av 15 uppsatser innehållade orden Conditional CAPM.

  1. 11. Portfolio Pricing with Measures of Conditional Skewness and Kurtosis

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Natalia Lelis; [2011]
    Nyckelord :Asset Pricing; CAPM; Time-varying Moments; Conditional Skewness; Conditional Kurtosis; Business and Economics;

    Sammanfattning : On the ground of a highly dynamic economic environment, the necessity for time-varying risk measures emerged. Inclusion of higher-order conditional moments in asset pricing models is a very common topic in recent research articles. LÄS MER

  3. 12. Cross-Section of Stock Returns: : Conditional vs. Unconditional and Single Factor vs. Multifactor Models

    Master-uppsats, Handelshögskolan vid Umeå universitet

    Författare :Rustam Vosilov; Nicklas Bergström; [2010]
    Nyckelord :Cross-section of stock returns; asset-pricing model empirical tests; CAPM; Fama-French; conditional asset-pricing models; time-varying beta; time-varying risk; conditional beta; cross-sectional regression; time series regression; financial market anomalies; value premium; size premium; momentum effect;

    Sammanfattning : The cross-sectional variation of stock returns used to be described by the Capital Asset Pricing Model until the early 90‟s. Anomalies, such as, book-to-market effect and small firm effect undermined CAPM‟s ability to explain stock returns and Fama & French (1992) have shown that simple firm attributes, like, firm size and book-to-market value can explain the returns far better than Beta. LÄS MER

  4. 13. Leverage and Volatility

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Ola Knut Eric Lithman; [2010]
    Nyckelord :Leverage; volatility; asymmetric volatility; leverage effect; leverage hypothesis; volatility feedback; VAR; PVAR; risk premium; GARCH; APARCH; Conditional CAPM; volatility decomposition; Business and Economics;

    Sammanfattning : This paper attempts to contribute to existing knowledge through an explicit threefold purpose. Initially, the importance of leverage in explaining equity return volatility is determined through two fixed effects panel data estimations. LÄS MER

  5. 14. Do Swedish hedge funds outperform the market

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :David De Man Lapidoth; Carl-Axel Yllner; [2007]
    Nyckelord :Hedge funds; Time series regression; Asset pricing model; Performance measure; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

    Sammanfattning : Using return data during the period February 2004 to January 2007 we examine abnormal performance for 16 Swedish hedge funds. In order to do this we estimate individual Jensen alphas employing three different asset pricing models; the CAPM, the Fama-French three-factor model and a conditional six-factor model. LÄS MER

  7. 15. The Value Premium - Is the Failure To Explain it as a Compensation for Risk a Consequense of Mis-specified Models?

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Henrik Byfors; Carl Lantz; [2007]
    Nyckelord :risk; Value Premium; Conditional CAPM; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

    Sammanfattning : Many studies have tried to explain the stock market value premium identified by Fama and French and Rosenberg, Reid and Lanstein. To the proponents of conventional asset pricing theory the value premium, measured by HmL (high book-to-market minus low book-to-market), is a bit of a dilemma. LÄS MER