Essays about: "Analysis of stock return and CAPM"

Showing result 11 - 15 of 25 essays containing the words Analysis of stock return and CAPM.

  1. 11. Investing on the risk of company bankruptcy

    University essay from Handelshögskolan i Stockholm/Institutionen för redovisning och finansiering

    Author : Jan Wocalewski; Simon Bergman; [2017]
    Keywords : Skogsvik 1990 s pfail; Distress risk anomaly; CAPM; Portfolio analysis; Cross sectional regressions;

    Abstract : We investigate the risk-return relationship between bankruptcy risk, measured by Skogsvik (1990)'s probability of firm failure ("pfail"), and stock returns on a refined stock sample on Stockholmsbörsen between 2002 and 2017. Using portfolio analysis and cross sectional regressions inspired by Fama-MacBeth (1973), we find lacking evidence to support a distress risk premium. READ MORE

  3. 12. The Performance of Gross-Profit to Asset on the Swedish Stock Market : A comparison to Book-to-Market and Earnings-to-Price in a time frame of 1994-2013

    University essay from Umeå universitet/Företagsekonomi

    Author : Larissa Emde; Cem Yildirim; [2016]
    Keywords : Gross-Profit to Asset; GPA; Book-to-Market; BP; Earnings-to-Price; EP; Swedish Stock Market; portfolio performance; value investing; quality investing;

    Abstract : This thesis examines the performance of portfolios sorted by gross-profit-to-asset (GPA) as a quality investing on the Swedish stock exchange. It constructs long-only portfolios and long-short portfolios sorted by GPA, book-to-market (B/P) and earnings-per-price (E/P). Thus, the thesis includes quality and value investing. READ MORE

  4. 13. How to beat the Baltic market : An investigation of the P/E effect and the small firm effect on the Baltic stock market between the years 2000-2014

    University essay from Umeå universitet/Företagsekonomi

    Author : Oscar Hallberg; Filip Arklid; [2015]
    Keywords : Efficient market hypothesis; behavioral finance; CAPM; anomalies; P E effect; small firm effect; abnormal return; significance test; regression analysis; emerging market; Baltic market;

    Abstract : The question many investors ask is whether or not it is possible to beat the market andearn money by being active on the stock market. In efficient markets this should not be possible, but several researches have come up with strategies that prove the opposite. READ MORE

  5. 14. Finding Value Through Sustainable Performance : A cross-sectional study of the relationship between risk-adjusted return and Environmental, Social and Governance performance on the Indian stock market

    University essay from Umeå universitet/Företagsekonomi

    Author : Christoffer Johansson; Petter Lundström; [2015]
    Keywords : ESG; India; Risk-adjusted return; Screening; Efficient markets;

    Abstract : Problem background and discussion: Emerging countries economies are growing substantially; one of these is India which stock market has been one of the best performing in the world in recent years. Analysts are forecasting further development and some claims that India has the most business- and investment-stimulating political leaders in the world. READ MORE

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

    University essay from Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

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

    Abstract : 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. READ MORE