Essays about: "test model capm"

Showing result 1 - 5 of 37 essays containing the words test model capm.

  1. 1. Risk Management and Sustainability - A Study of Risk and Return in Portfolios With Different Levels of Sustainability

    University essay from KTH/Matematik (Avd.)

    Author : Magnus Borg; Lucas Ternqvist; [2023]
    Keywords : ESG; Value-at-Risk VaR ; Expected Shortfall ES ; Risk Management; Financial Risk; Financial Mathematics; Sustainability; Portfolio Management; Capital Asset Pricing Model CAPM ; Hållbarhet; Value-at-Risk VaR ; Expected Shortfall ES ; Riskhantering; Finansiell Risk; Finansiell Matematik; Portföljkonstruktion;

    Abstract : This thesis examines the risk profile of Electronically Traded Funds and the dependence of the ESG rating on risk. 527 ETFs with exposure globally were analyzed. Risk measures considered were Value-at-Risk and Expected Shortfall, while some other metrics of risk was used, such as the volatility, maximum drawdown, tail dependece, and copulas. READ MORE

  3. 2. Liquidity and its effect on asset returns

    University essay from Uppsala universitet/Företagsekonomiska institutionen

    Author : Philip Mafi; Linnéa Wilhelmsson; [2022]
    Keywords : Asset-pricing; illiquidity premium; liquidity factor;

    Abstract : With data covering 20 years, we test three different liquidity measures' explanatory power in explaining asset returns on the Swedish stock market, and if an illiquidity premium exists. After establishing whether an illiquidity premium exists or not, we test whether the asset pricing models CAPM and the Fama-French three-factor model can benefit from including a liquidity factor. READ MORE

  4. 3. Exploring the relationship between ESG and portfolio performance during times of crisis : a study of the Russia-Ukraine war

    University essay from Stockholms universitet/Finansiering

    Author : Saraj Huq; Tiia Erika Jutila; Oscar Sameland; [2022]
    Keywords : ESG Portfolios; Abnormal Returns; Europe; Fama-French three-factor model; CAPM; ESG; Socially Responsible Investing; CSR; Refinitiv Eikon; Russia-Ukraine war; Russian-Ukrainian war; Russo-Ukrainian war; Crisis;

    Abstract : This thesis explores the relationship between Environmental, Social, and Governance (ESG) ratings and portfolio performance in terms of risk-adjusted returns and volatility during times of crisis. A sample of 761 European public companies with a market capitalisation of at least 300 million euros are divided into high and low ESG portfolios based on their ratings. READ MORE

  5. 4. 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

  6. 5. Is Illiquidity a Good Proxy for Risk? : Can illiquidity have an effect on growth firms' expected return?

    University essay from Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO)

    Author : Vilma Carlberg; Christina Gyllner; [2022]
    Keywords : AILLIQ; ILLIQ; risk; return; capital asset pricing model; liquidity; illiquidity; small-cap; t-test;

    Abstract : As previous researchers have discussed the paradigm of risk and return, this study also suggests illiquidity as a good proxy for risk. An illiquid asset, thus higher risk, should generate high return. READ MORE