Essays about: "Analysis of stock return and CAPM"

Showing result 16 - 20 of 25 essays containing the words Analysis of stock return and CAPM.

1. 16. Empirical tests of Fama-French three-factor model and Principle Component Analysis on the Chinese stock market

   University essay from Lunds universitet/Företagsekonomiska institutionen

   Author : Jingjing Guo; Kaiwen Wang; [2014]
   Keywords : Business and Economics;

   Abstract : Date: 2014-06-03 Authors: Kaiwen Wang Jingjing Guo [email protected] [email protected]. READ MORE

3. 17. Alternative Index Weighting Strategies on the Swedish Stock Market

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : William Appelgren; Johanna Trost; [2014]
   Keywords : alternative index strategies;

   Abstract : The Market-Capitalization index reweighting has since long had the role as the conventional tool for passive investments through its simplicity and CAPM framework conformance. Nowadays, alternative index reweightings are getting increased traction in the light of market-capitalization criticism and suggested risk-return improvements and possibilities of desired characteristics. READ MORE

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

   University essay from Akademin för ekonomi, samhälle och teknik

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

   Abstract : 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. READ MORE

5. 19. The announcement effect on mean and variance for underwritten and non-underwritten SEOs

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Marcus Wikner; Joel Aneheim Ulvenäs; [2013]
   Keywords : Seasoned equity offerings; Nyemissioner; Garanterade; Underwritten; Abnormal returns; Variance; Business and Economics;

   Abstract : This thesis investigates the stock return and its variance around seasoned equity offering announcements for Swedish companies listed on the OMX Large cap, Mid cap and Small cap exchanges. The analysis is made on a full sample containing 52 SEOs, as well as two sub-samples containing underwritten and non-underwritten SEOs. READ MORE

6. 20. Active Share in the Swedish Premium Pension System : A Study on Mutual Fund Activity and Performance

   University essay from Företagsekonomi

   Author : Andreas Rönngren; Ding Xu; [2013]
   Keywords : Active Share; tracking error volatility; tracking error; fund performance; alpha; Swedish funds; fund return; mutual equity funds; CAPM; three-factor model; four factor model; pension; Swedish pension system; premium pension; Swedish premium pension system;

   Abstract : We investigate the activity and performance of 64 Swedish registered mutual equity funds available in the Swedish Premium Pension System from October 2002 to December 2011. Fund activity is measured by applying the holdings based analysis Active Share combined with Tracking Error Volatility (TEV). READ MORE