Sökning: "International Asset Pricing Model"

Visar resultat 1 - 5 av 10 uppsatser innehållade orden International Asset Pricing Model.

1. 1. Volatility-managed portfolios in the international markets

   Master-uppsats, Stockholms universitet/Finansiering

   Författare :Soroush Hasanpour; Emil Adamsson; [2022]
   Nyckelord :Financial Markets; Asset-pricing; asset pricing; Equity; Equity Markets; Volatility; Volatility-management; international markets; Volatility pricing; Pricing anomalies;

   Sammanfattning : Volatility-managed portfolios offer mixed returns in an international setting based on ex-ante information. The results of this paper further strengthen the theory that the variability of excess returns from volatility-management are more dependent on underlying investor strategy rather than differences of global markets. LÄS MER

3. 2. Political Risk in Asset Pricing - Evidence from Latin America: An Empirical Study of Brazil, Chile, Colombia, Mexico, and Peru

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

   Författare :Henry Chen; Maximilian Stärk; [2021]
   Nyckelord :Country risk; Emerging markets; Fama-French; International valuation; Political risk;

   Sammanfattning : Project valuation in emerging markets is an important issue in international business. Practitioners and academics usually suggest adjusting the discount rate with the sovereign yield spread to capture political risk in the valuation. LÄS MER

4. 3. Financial integration and international asset pricing of Chinese stock markets

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

   Författare :Ho Wai NG; Weiwei Zhu; [2018]
   Nyckelord :Financial integration; International asset pricing; Emerging Market Finance;

   Sammanfattning : Our analysis draws several meaningful findings. First, we find that there is predictability of Chinese stock market return on latent variables which include common and local specific information. We also find that the conditional volatility and local price of risk are time varying for China. LÄS MER

5. 4. 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

7. 5. Exchange rate sensitivity - a study of stock price sensitivity to unexpected changes in the EUR/SEK exchange rate

   Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Adam Lidén; Hampus Asphage; [2014]
   Nyckelord :Foreign exchange risk; Asset pricing; Foreign exchange sensitivity; International CAPM; Business and Economics;

   Sammanfattning : Purpose: To investigate if there is a significant stock price sensitivity towards the currency pair for portfolios of Swedish companies and how this sensitivity differs between sectors, firm size and foreign to total sales ratios. Methodology: Use orthogonalized unexpected movements in a market index and the exchange rate and regress these on portfolio returns sorted by sector, firm size and foreign to total sales ratios. LÄS MER