Essays about: "capm testing"

Showing result 16 - 20 of 20 essays containing the words capm testing.

  1. 16. In Search of a Leverage Factor in Stock Returns: An Empirical Evaluation of Asset Pricing Models on Swedish Data

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Beniam Poutiainen; David Zytomierski; [2010]
    Keywords : Asset pricing; CAPM; Carhart; Fama-French; Leverage factor;

    Abstract : Theoretical finance regards leverage as one of the sources of stock return risk, and thus claims that the more levered a firm is, the higher the risk for equity holders and the higher the required rate of return. As asset pricing has matured into an important area of finance, new factors have been incorporated into the CAPM, following observed anomalies in stock returns. READ MORE

  3. 17. Back Testing the "Magic Formula" in the Nordic Region

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Victor Persson; Niklas Selander; [2009]
    Keywords : Efficient Markets; Magic Formula; Joel Greenblatt;

    Abstract : We will in this thesis back test Joel Greenblatt’s magic formula on stocks in the Nordic Region between January 1st 1998 and January 1st 2008. We will compare the return with benchmarks such as MSCI Nordic and S&P 500 as well as the return predicted by the Capital Assets Pricing Model (CAPM) and Fama French’s three factor model. READ MORE

  4. 18. Insider trading on the Stockholm Stock Exchange : Non reported insider trading prior to profit warnings

    University essay from IHH, Företagsekonomi

    Author : Patrik Lindén; Martin Lejdelin; [2007]
    Keywords : Insider trading; Profit warnings; Price drift; Event study; CAPM;

    Abstract : Background: Studying insider trading is difficult due to its sensitive and delicate nature. Therefore it is hard to gauge the extent of such activities. This problem has resulted in a fierce debate whether it should be prohibited or not. READ MORE

  5. 19. Testing the CAPM Model : A study of the Chinese Stock Market

    University essay from Handelshögskolan vid Umeå universitet

    Author : Donghui Xu; Xi Yang; [2007]
    Keywords : CAPM Chinses Stock Market;

    Abstract : There have been countless empirical studies conducted to test the validity of the Capital Asset Pricing Model（CAPM）since its naissance. However, few have considered the Chinese Stock Market. The purpose of this paper is to test the CAPM to see if it holds true in the Shanghai Stock Exchange (SSE). READ MORE

  6. 20. Insider trading on the Stockholm Stock Exchange : Non reported insider trading prior to profit warnings

    University essay from IHH, Redovisning och finansiering

    Author : Patrik Lindén; Martin Lejdelin; [2007]
    Keywords : Insider trading; Profit warnings; Price drift; Event study; CAPM;

    Abstract : Background: Studying insider trading is difficult due to its sensitive and delicate nature. Therefore it is hard to gauge the extent of such activities. This problem has resulted in a fierce debate whether it should be prohibited or not. READ MORE