Essays about: "Analysis of stock return and CAPM"

Showing result 1 - 5 of 25 essays containing the words Analysis of stock return and CAPM.

1. 1. Impact of Inflation on Return and Pricing of Swedish Bank Stocks : A Fama-French Analysis on Monthly Stock Returns and Pricing of Handelsbanken, Swedbank, SEB and Nordea

   University essay from Uppsala universitet/Nationalekonomiska institutionen

   Author : Carl Westerberg; Elvin Rolder; [2023]
   Keywords : Asset Pricing Theory; CAPM; Carhart; Fama-French; Fama-Macbeth; Inflation; NII;

   Abstract : This study explores the influence of inflation on the monthly total stock returns and stock pricing of Swedish banks. The research question is systematically examined througha cross sectional and time series analysis, utilizing Fama-French, Carhart, and Fama-Macbeth metodologies. READ MORE

3. 2. Accounting for the Measurement Bias: A Study of Market Efficiency in the United States and the Relevance of Extensive Fundamental Analysis in Equity Valuation

   University essay from Handelshögskolan i Stockholm/Institutionen för redovisning och finansiering

   Author : Erik Bergmark; Hugo Freudenthal; [2023]
   Keywords : Accounting valuation bias; Fundamental analysis; Horizon Value; Market mispricing; Residual income valuation;

   Abstract : This thesis investigates abnormal returns over the period 1983-2021 from an investment strategy that is based on public accounting information. Investment positions are taken in US manufacturing firms and are held for 36 months using a self-financing (hedged) portfolio. READ MORE

4. 3. Stockholm Stock Exchange and Environmental Rating – A Multifactor Analysis

   University essay from Göteborgs universitet/Graduate School

   Author : Carl Helldén; Julia Lamers; [2022-06-29]
   Keywords : ESG; Environmental; asset pricing models; screening strategies;

   Abstract : The thesis investigates if investors can generate positive abnormal performance by investing in Environmental high-rated stocks on the Stockholm stock exchange based on three screening strategies; positive, negative and best-in-class for value-weighted, long-only and long-short portfolios. The sample is between 2010-2020, using CAPM, Fama-French three factor model and Carhart four factor model. READ MORE

5. 4. Stock Market Volatility in the Context of Covid-19

   University essay from Jönköping University/IHH, Företagsekonomi

   Author : Liu Kunyu; [2022]
   Keywords : The U.S. stock market; COVID-19; volatility clustering; GARCH models; leverage effect;

   Abstract : The global economy has been severely impacted during the Covid-19 period. The U.S. stock market has also experienced greater volatility. READ MORE

6. 5. How the Stock Market Rewards Green Bond Issuers : A Comparison of the Issuers’ Environmental Profiles

   University essay from Uppsala universitet/Företagsekonomiska institutionen

   Author : Eric Rahmberg; Zakrisson Jesper; [2022]
   Keywords : Green bonds; Event study; ESG; Europe; Sustainability; Abnormal Return;

   Abstract : As global warming is becoming a bigger problem, sustainable investments and the issuance of green bonds have increased. In this article, we study the announcement returns of green bond issuers based on the environmental firm effort and the environmental appearance of the sector to see how the European market reacts to different types of issuers. READ MORE