Essays about: ",empirical test of CAPM"

Showing result 6 - 10 of 15 essays containing the words ,empirical test of CAPM.

  1. 6. Comparing the Volatility of Socially Responsible Investments, Renewable Energy Funds and Conventional Indices

    University essay from Umeå universitet/Företagsekonomi

    Author : Alice Annelin; [2014]
    Keywords : Volatility; Socially Responsible Investments; Renewable Energy Funds; GARCH; Correlations;

    Abstract : A growing concern among investors for social responsibility in relation to the business world and its effect on the environment, society, and government has increased and therefore different types of stock indices and funds that incorporate socially responsible ideals have been developed. However, a literature review revealed that there does not seem to be much information about the volatility of Green Funds or Socially Responsible Investments (SRI). READ MORE

  3. 7. Empirical tests of Fama-French three-factor model and Principle Component Analysis on the Chinese stock market

    University essay from Lunds universitet/Företagsekonomiska institutionen

    Author : Jingjing Guo; Kaiwen Wang; [2014]
    Keywords : Business and Economics;

    Abstract : Date: 2014-06-03 Authors: Kaiwen Wang Jingjing Guo [email protected] [email protected]. READ MORE

  4. 8. Empirical Researches of the Capital Asset Pricing Model and the Fama-French Three-factor Model on the U.S. Stock Market

    University essay from Akademin för ekonomi, samhälle och teknik

    Author : Dingquan Miao; Xin Yi; [2013]
    Keywords : expected return and risk; single-factor CAPM; Fama-French three-factor model; OLS regression;

    Abstract : The aim of this paper is to use the US stock market index to construct different portfolios and test the possible differences in the validity between the capital asset pricing model (CAPM) and the Fama and French three-factor model for the US market. We perform a comprehensive analysis of the two models, and form risk factors that are applied with advanced methods from recent literatures. READ MORE

  5. 9. Idiosyncratic Risk and Expected Stock Returns: An Empirical Investigation on the GIPS Countries

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Nadir Luvisotti; [2013]
    Keywords : Idiosyncratic Risk; CAPM; Fama-French three factor model; GIPS equity markets;

    Abstract : The thesis aims to provide a framework for understanding how the idiosyncratic risk (IVOL) may affect the returns of individual stocks in the context of the Capital Asset Pricing Model and the Fama-French three factor model. We examine the Greek, Italian, Portuguese and Spanish (GIPS) Equity Markets. READ MORE

  6. 10. An empirical study of real estate stock return behavior on the Nordic markets : – A 2003-2013 study

    University essay from Företagsekonomi

    Author : David Mäki; Martin Lundström; [2013]
    Keywords : Real estate; stock return; market efficiency; volatility; CAPM;

    Abstract : The financial crisis has made the stock markets a very turbulent place. Investors have therefore begun searching for stable and profitable investments. Nordic real estate has for decades steadily increased in value and the stocks of real estate companies are said to be less risky than the market. READ MORE