Sökning: "asset-pricing model empirical tests"

Visar resultat 1 - 5 av 8 uppsatser innehållade orden asset-pricing model empirical tests.

  1. 1. Beta och branscher : En studie om sambandet mellan beta och avkastning inomolika branscher

    Kandidat-uppsats, Södertörns högskola/Företagsekonomi

    Författare :Andreas Flykt; Sara Åselius; [2022]
    Nyckelord :Beta; risk; CAPM; systematisk risk; avkastning; branscher;

    Sammanfattning : I denna studie analyserar forskarna det omtalade sambandet inom finansiering mellan riskoch avkastning på den svenska aktiemarknaden. Att investera i aktier är idag närasammankopplat till begreppet risk och för investerare har sambandet mellan risk ochavkastning en mycket viktig innebörd eftersom att man ständigt söker maximal avkastning tillen minimal nivå av risk. LÄS MER

  3. 2. Q-factor Investment Approach: Evidence from the Swedish Equity Market

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Jesper Lundgren; Robin Olin; [2021-06-30]
    Nyckelord :Asset pricing; q-factor model; Swedish equity market;

    Sammanfattning : Four easily measured factors: market, size, investment, and pro tability together con- stitute the empirical q-factor model. The combination of factors have previously shown to largely capture the cross-sectional variation in average stock returns. LÄS MER

  4. 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

  5. 4. Multi-Factor Extensions of the Capital Asset Pricing Model: An Empirical Study of the UK Market

    Master-uppsats, Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

    Författare :Calum Johnson; [2015]
    Nyckelord :Asset Pricing Models; Portfolio Theory; Applied Mathematics; Finance; CAPM; Equities; UK;

    Sammanfattning : The point of this thesis is to compare classic asset pricing models using historic UK data. It looks at three of the most commonly used asset pricing models in Finance and tests the suitability of each for the UK market. LÄS MER

  7. 5. Empirical Researches of the Capital Asset Pricing Model and the Fama-French Three-factor Model on the U.S. Stock Market

    Kandidat-uppsats, Akademin för ekonomi, samhälle och teknik

    Författare :Dingquan Miao; Xin Yi; [2013]
    Nyckelord :expected return and risk; single-factor CAPM; Fama-French three-factor model; OLS regression;

    Sammanfattning : The aim of this paper is to use the US stock market index to construct different portfolios and test the possible differences in the validity between the capital asset pricing model (CAPM) and the Fama and French three-factor model for the US market. We perform a comprehensive analysis of the two models, and form risk factors that are applied with advanced methods from recent literatures. LÄS MER