Essays about: "Analysis of stock return and CAPM"

Showing result 6 - 10 of 25 essays containing the words Analysis of stock return and CAPM.

  1. 6. Does ESG pay off? : A quantitative study of how ESG-scores affect Swedish Large-cap Firms Performance and Stock returns

    University essay from Umeå universitet/Företagsekonomi

    Author : Nebil Esmail; Andreas Mattsson; [2022]
    Keywords : Firm performance; Stock returns; ESG-scores; Sweden; Large-cap; Stakeholder theory; Shareholder theory; Efficient Market Hypothesis; CAPM; Fama- French Three-Factor Model;

    Abstract : Previous scholars have viewed expenditures on ESG (environmental, social, governance) in two distinct ways. In one way, it has been viewed as wasteful if it does not directly contribute to the business. The other perspective being that by addressing ESG-issues, one can improve businesses by improving society. READ MORE

  3. 7. EMPIRICAL ANALYSIS OF FACTORS AFFECTING THE EXPECTED RATE OF RETURN FOR ALL-ELECTRIC-VEHICLE MAKERS : USING REGRESSION ANALYSIS TO TEST THE SIGNIFICANCE OF THE CAPM AND FAMA FRENCH FACTORS ON THE CALCULATION OF THE EXPECTED RATE OF RETURN FOR 9 OF THE BIGGEST ALL-ELECTRIC VEHICLE MAKERS.

    University essay from Blekinge Tekniska Högskola

    Author : Dimitrios Felekidis; Sylwia Buczek; [2022]
    Keywords : Electric vehicles; All-electric vehicles; Expected return rate; Fama French Three-Factor Model; Fama French Five-Factor Model; CAPM model; Stock;

    Abstract : The All-Electric Vehicle (AEV) industry development has intensified and is connected to governmentefforts to minimize greenhouse gas emissions and encourage people to buy electric vehicles. This hasled to all the lights turning on newly established all-electric vehicle makers and some older players. READ MORE

  4. 8. An Investment Approach Built on Systematic Risk : A performance analysis based on the characteristics of defensive and cyclical sectors on the Swedish stock market.

    University essay from Jönköping University/IHH, Nationalekonomi

    Author : Pontus Bardh; Jacob Haglund; [2021]
    Keywords : Defensive; Cyclical; Sectors; CAPM; Beta; Systematic risk; Alpha; Sharpe ratio; Performance; Stock market;

    Abstract : This thesis investigates and compares the performance and characteristics of defensive and cyclical sectors on the Swedish stock market during 2003-2020 and the financial crisis in2007-2008, taking monthly price developments from nine sectors. The purpose is to examine the differences in sector performances based on the estimations of systematic risk. READ MORE

  5. 9. Liquidity and stock returns: Evidence form Kazakhstan stock market

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Temirlan Izmailov; [2019]
    Keywords : Market liquidity; Illiquidity measurement; Stock returns; Exchange rate regime; Global CAPM;

    Abstract : A lot of well-known theorems and asset pricing models are derived from analysis of developed stock exchanges under conditions of absence of transaction costs. Thus, a lot of attention has been given to transaction cost effects on stock return, especially after the financial crisis of 2008. READ MORE

  6. 10. Factor Analysis of a Low Market Beta Portfolio in the Nordics

    University essay from KTH/Matematisk statistik

    Author : Arvid Orback; Magnus Nordlinder; [2019]
    Keywords : ;

    Abstract : The return of publicly traded assets has been studied by both academia and commercial institutions, using models with different sets of factors. Building on the work of previous results in this field, such as the CAPM-model, the three-factor model by Fama and French, and the four-factor model by Carhart, this thesis studies the return of a low market beta portfolio in the Nordic stock market. READ MORE