Essays about: ",empirical test of CAPM"

Showing result 11 - 15 of 15 essays containing the words ,empirical test of CAPM.

  1. 11. Does more trade equal less return - Applied on the Swedish stock market

    University essay from Lunds universitet/Företagsekonomiska institutionen

    Author : Pontus Persson; Semir Pavlica; [2012]
    Keywords : Liquidity and Illiquidity premiums; Fama MacBeth; Fama-French; Swedish stock exchange; CAPM.; Business and Economics;

    Abstract : The main purposes in this master´s thesis are to examine the effect of liquidity on stock returns but also measuring the return premium in relation to liquidity towards the Swedish stock exchange market. In order to test these relationships the Fama and MacBeth (1997) Cross-sectional methodology have been applied. READ MORE

  3. 12. 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

  4. 13. Zero impact or zero reliability? : An empirical test of Capital Asset Pricing Model during periods ofzero risk-free rate

    University essay from Handelshögskolan vid Umeå universitet

    Author : Ackis Grammenidis; Anna Fattor; [2009]
    Keywords : Capital Asset Pricing Model; Risk-free interest rate; Portfolio Theory; Empirical Test on CAPM; Arbitrage Pricing Theory; Stock’s prices;

    Abstract : 1.3. Research Questions. With this in mind, the research questions of this work are: 1. READ MORE

  5. 14. B-Values : Risk Calculation for Axfood and Volvo Bottom up beta approach vs. CAPM beta

    University essay from Institutionen för teknik och samhälle

    Author : Divesh Ljungström; [2007]
    Keywords : CAPM; Jensen’s measure alpha; Security market line; Bottom-up Betas; Levered Beta; Unlevered Beta; Required return on Equity; Debt Equity ratio.;

    Abstract : The aim of this thesis is to study the risk for two Swedish companies, Axfood and Volvo. To test the required return on equity, a bottom-up beta approach and a CAPM regression beta are used. READ MORE

  6. 15. 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