Essays about: "capm testing"

Showing result 11 - 15 of 20 essays containing the words capm testing.

  1. 11. Do analysts have specific stock-picking skills?

    University essay from Lunds universitet/Företagsekonomiska institutionen

    Author : Markus Persson; Gisela Åhrberg; [2012]
    Keywords : Stock recommendations; abnormal return; industries; analysts; OMXS; Business and Economics;

    Abstract : Abstract Background: During the period 2000-2010, the majority of the Swedish populations’ savings were in equity funds. The consequence of households increased savings in stocks has resulted in a growing market for stock recommendations. READ MORE

  3. 12. A study of the risk-return relationship in the Swedish housing market: evidence from an H-CAPM model

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Adrian Imreorow; Oscar Schagerström; [2011]
    Keywords : housing capital asset pricing model; H-CAPM; housing market; house price returns; risk-return relationship;

    Abstract : 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. READ MORE

  4. 13. Portfolio Pricing with Measures of Conditional Skewness and Kurtosis

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Natalia Lelis; [2011]
    Keywords : Asset Pricing; CAPM; Time-varying Moments; Conditional Skewness; Conditional Kurtosis; Business and Economics;

    Abstract : On the ground of a highly dynamic economic environment, the necessity for time-varying risk measures emerged. Inclusion of higher-order conditional moments in asset pricing models is a very common topic in recent research articles. READ MORE

  5. 14. Cross-Section of Stock Returns: : Conditional vs. Unconditional and Single Factor vs. Multifactor Models

    University essay from Handelshögskolan vid Umeå universitet

    Author : Rustam Vosilov; Nicklas Bergström; [2010]
    Keywords : Cross-section of stock returns; asset-pricing model empirical tests; CAPM; Fama-French; conditional asset-pricing models; time-varying beta; time-varying risk; conditional beta; cross-sectional regression; time series regression; financial market anomalies; value premium; size premium; momentum effect;

    Abstract : The cross-sectional variation of stock returns used to be described by the Capital Asset Pricing Model until the early 90‟s. Anomalies, such as, book-to-market effect and small firm effect undermined CAPM‟s ability to explain stock returns and Fama & French (1992) have shown that simple firm attributes, like, firm size and book-to-market value can explain the returns far better than Beta. READ MORE

  6. 15. Testing the capm in the Indian market, a A study that investigates the validity of the CAPM in Bombay Stock Exchange SENSEX30

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Diwani Mazen Mohamad; [2010]
    Keywords : beta; CAPM; Bombay Stock Exchange; stocks’ returns; risk free rate; stocks .; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

    Abstract : This paper is designed to examine the validity of the CAPM model in the emerging markets. I took the Indian market to be the case in which we examine the applicability of this model and therefore I decided to perform the study on one of the biggest Indian markets; Bombay Stock Exchange. READ MORE