Sökning: "single-factor CAPM"
Visar resultat 1 - 5 av 7 uppsatser innehållade orden single-factor CAPM.
1. Performance Evaluation of Small- and Large-cap stocks - The importance of size effects on the Swedish equity market
Kandidat-uppsats, Göteborgs universitet/Institutionen för nationalekonomi med statistikSammanfattning : This Bachelor´s thesis investigated the performance of small-cap stocks and large-cap stocks on the Swedish equity market (NASDAQ OMX) over the years 2011 to 2016. A number of studies focused on asset pricing have during the last decades indicated that the original Capital Asset Pricing Model (CAPM) is misspecified and has limited power to explain cross-sectional and temporal variations in expected equity returns. LÄS MER
2. Momentum Returns in Different Market Climates: Evidence from the Pakistani Stock Market
C-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiSammanfattning : In our study, we investigate the risk-return relationship under different market-climates for the momentum strategy on the Pakistan stock exchange (PSX) between February 1999 and February 2019. We test three strategies with different formation/holding-periods; 3/3, 6/6 and 12/3. We use a single-factor model (CAPM) to analyze these relationships. LÄS MER
3. 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 teknikSammanfattning : 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
4. A study of the risk-return relationship in the Swedish housing market: evidence from an H-CAPM model
C-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiSammanfattning : This paper investigates the risk-return relationship in the Swedish housing market by testing a housing capital asset pricing model (H-CAPM). The model is applied on one- and two-dwelling houses for permanent living in 238 municipalities between 1982 and 2009. LÄS MER
5. The New Swedish Beta: A Study of Single-Factor Domestic CAPM Mispricing by Swedish Industry
C-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiSammanfattning : This study investigates the implementation of the domestic and European single-factor capital asset pricing model in 8 of the largest industries in Sweden. The models are compared to the single-factor global CAPM model and the levels of mispricing are derived. LÄS MER