Sökning: "International CAPM"
Visar resultat 1 - 5 av 11 uppsatser innehållade orden International CAPM.
1. Förklarar 4-faktormodellen den svenska börsens avkastning bättre jämfört mot tidigare modeller? : En analys av marknaden under 8 år
Kandidat-uppsats, Uppsala universitet/Företagsekonomiska institutionenSammanfattning : Does the 4-factor model have a higher degree of explanation than CAPM and the 3-factor model on the Swedish stock market? The purpose of this thesis is to investigate whether the 4-factor model's ability to explain the systematic risk on the Swedish stock market is better than CAPM and the 3-factor model. Furthermore, we want to investigate whether it is possible to create portfolios based on the 4-factor model that generates excess returns. LÄS MER
2. Factor Investing and Macroeconomic Risk
D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiSammanfattning : This thesis examines the influence of macroeconomic risk on simple investment strategies related to the well-known risk factors size, value and momentum. Based on a sample of 25,224 stocks from ten different countries, quarterly returns between 1999 and 2016 have been analyzed with fixed-effect regression models. LÄS MER
3. Utvärdering av CAPM och Fama & French-trefaktormodellen : en studie på den svenska marknaden
Kandidat-uppsats, Högskolan Kristianstad/Sektionen för hälsa och samhälleSammanfattning : Det är sedan länge känt att det finns en positiv korrelation mellan risk och avkastning. Investerare och bolag kan välja mellan flera olika prissättningsmodeller för att förutspå priset på en aktie. Forskare har, med den kända enfaktormodellen CAPM som utgångspunkt, utvecklat en modell som tar hänsyn till mer än bara marknadsfaktorn. LÄS MER
4. Systematic Risk, Financial Indicators and the Financial Crisis: A Risk Study on International Airlines
Magister-uppsats, Uppsala universitet/Företagsekonomiska institutionenSammanfattning : This thesis studies the relationships between systematic risk, financial indicators and the financial crisis from the perspective of international airlines. The thesis uses the CAPM beta of airline stock as the proxy for airline systematic risk and explores its relationships with six financial indicators and the financial crisis which broke out in the second half of 2008. LÄS MER
5. Risk Attitudes and the Equity Premium Puzzle: empirical tests in a cross-country setting
D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiSammanfattning : This study utilises panel data, Equity Home Bias measurements and a two-stage estimation process incorporating one version of the international CAPM to extract comparable input data and test country-scores for risk preferences, risk aversion and time discounting as well as country scores on broader cultural dimensions, on country-estimates of the Equity Risk Premia. The risk attitude scores, which just recently have been made available, are such that they may proxy for irrational behaviours which have been theorized to explain the Equity Premium Puzzle, and enable a rigorous way to empirically test such an effect. LÄS MER