Sökning: "Conditional Capital Asset Pricing Model"

Hittade 5 uppsatser innehållade orden Conditional Capital Asset Pricing Model.

1. 1. Stock Market Volatility in the Context of Covid-19

   Magister-uppsats, Jönköping University/IHH, Företagsekonomi

   Författare :Liu Kunyu; [2022]
   Nyckelord :The U.S. stock market; COVID-19; volatility clustering; GARCH models; leverage effect;

   Sammanfattning : The global economy has been severely impacted during the Covid-19 period. The U.S. stock market has also experienced greater volatility. LÄS MER

3. 2. Investment Decision for a Risk-Averse Investor : A Study of the Nordic Markets

   Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Nationalekonomi

   Författare :Marcus Molitor; [2022]
   Nyckelord :;

   Sammanfattning : This paper investigates the investment decisions for a risk-averse investor. Today’s market offers a variety of different investment options, and it might be hard to filter out the good investments from the bad. This study aims to find the most attractive investments with regards to low volatility. LÄS MER

4. 3. 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

5. 4. Expected Default Measures in the KMV model and the Market-based model

   Master-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Kuang He; [2012]
   Nyckelord :Default risk; Distance-to-default; KMV model; Market based Model; Capital Asset Pricing Model CAPM ; Leverage ratio; Equity volatility; Business and Economics;

   Sammanfattning : Two credit risk models are applied to calculate the expected distance to default in a sample of 32 Chinese listed non-financial companies from 2006 to 2011.One is the KMV(Merton) model under the machinery of option pricing and other is the market based model relied on a conditional version of capital asset pricing model(CAPM). LÄS MER

7. 5. 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