Sökning: "capm thesis"

Visar resultat 1 - 5 av 120 uppsatser innehållade orden capm thesis.

1. 1. Risk Management and Sustainability - A Study of Risk and Return in Portfolios With Different Levels of Sustainability

   Master-uppsats, KTH/Matematik (Avd.)

   Författare :Magnus Borg; Lucas Ternqvist; [2023]
   Nyckelord :ESG; Value-at-Risk VaR ; Expected Shortfall ES ; Risk Management; Financial Risk; Financial Mathematics; Sustainability; Portfolio Management; Capital Asset Pricing Model CAPM ; Hållbarhet; Value-at-Risk VaR ; Expected Shortfall ES ; Riskhantering; Finansiell Risk; Finansiell Matematik; Portföljkonstruktion;

   Sammanfattning : This thesis examines the risk profile of Electronically Traded Funds and the dependence of the ESG rating on risk. 527 ETFs with exposure globally were analyzed. Risk measures considered were Value-at-Risk and Expected Shortfall, while some other metrics of risk was used, such as the volatility, maximum drawdown, tail dependece, and copulas. LÄS MER

3. 2. Accounting for the Measurement Bias: A Study of Market Efficiency in the United States and the Relevance of Extensive Fundamental Analysis in Equity Valuation

   D-uppsats, Handelshögskolan i Stockholm/Institutionen för redovisning och finansiering

   Författare :Erik Bergmark; Hugo Freudenthal; [2023]
   Nyckelord :Accounting valuation bias; Fundamental analysis; Horizon Value; Market mispricing; Residual income valuation;

   Sammanfattning : This thesis investigates abnormal returns over the period 1983-2021 from an investment strategy that is based on public accounting information. Investment positions are taken in US manufacturing firms and are held for 36 months using a self-financing (hedged) portfolio. LÄS MER

4. 3. CARs In the Driver’s Seat: The Battle Between Capital and Stock Performance

   Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Léo Fégeant; Alice Beer; [2023]
   Nyckelord :Capital Adequacy Ratio; Capital Requirements; Stock Returns; Basel-III; Business and Economics;

   Sammanfattning : After the financial crisis of 2008, the Basel Committee on Banking Supervision created the latest Accord for capital requirements: The Basel III Accord. Basel III set higher requirements for both quantity and quality of capital, with the aim to mitigate systemic risk. LÄS MER

5. 4. Stockholm Stock Exchange and Environmental Rating – A Multifactor Analysis

   Master-uppsats, Göteborgs universitet/Graduate School

   Författare :Carl Helldén; Julia Lamers; [2022-06-29]
   Nyckelord :ESG; Environmental; asset pricing models; screening strategies;

   Sammanfattning : The thesis investigates if investors can generate positive abnormal performance by investing in Environmental high-rated stocks on the Stockholm stock exchange based on three screening strategies; positive, negative and best-in-class for value-weighted, long-only and long-short portfolios. The sample is between 2010-2020, using CAPM, Fama-French three factor model and Carhart four factor model. LÄS MER

7. 5. Estimating the Market Risk Exposure through a Factor Model with Random Effects

   Master-uppsats, Linköpings universitet/Tillämpad matematik; Linköpings universitet/Tekniska fakulteten

   Författare :Lukas Börjesson; [2022]
   Nyckelord :Market risk exposure; non-stationary market risk exposure; non-stationary idiosyncratic risk; factor model; linear regression; linear mixed model; random effects; mixture of gaussians.;

   Sammanfattning : In this thesis, we set out to model the market risk exposure for 251 stocks in the S&P 500 index, during a ten-year period between 2011-04-30 and 2021-03-31. The study brings to light a model not often mentioned in the scientific literature focused on market risk estimation, the linear mixed model. LÄS MER