Essays about: "CAPM and portfolio theory"

Showing result 1 - 5 of 17 essays containing the words CAPM and portfolio theory.

  1. 1. ESG Balancing the Books and the Planet: A Quantitative Analysis of Risk-Adjusted Returns in ESG and Traditional Funds

    University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Author : Benjamin Javidi; Malin Larsson; [2023-08-25]
    Keywords : Capital Asset Pricing Model CAPM ; Fama-French three-factor model; ESG; Sharpe ratio; OLS Regression Analysis; Modern Portfolio Theory;

    Abstract : The demand for sustainable investment has increased in the last decade. “Environmental, Social and Governance” (ESG) are characteristics within sustainable investment and are commonly considered in private investing. READ MORE

  3. 2. Covid-19, quantitative easing, and the awakening of abnormal returns at the Swedish stock market

    University essay from Södertörns högskola/Nationalekonomi

    Author : Emily Lindzén; Sofia Åhrman; [2022]
    Keywords : Quantitative easing; Austrian business cycle Theory; Financial instability hypothesis; Speculative bubbles; Covid-19; Abnormal returns; Kvantitativa lättnader; Österrikiska konjunkturcykelteorin; Finansiella instabilitets hypotesen; Spekulativa bubblor; Covid-19; Abnorm avkastning;

    Abstract : This thesis aims to investigate to what extent the quantitative easing monetary policy tool, applied by the Riksbank, contributed to abnormal returns at the Swedish stock market during Covid-19. The chosen time period is 2007-2022, including the period before and after the implementation of quantitative easing in Sweden in 2015. READ MORE

  4. 3. The Size and Value effect of The Fama and French Three Factor Model. Do the variables remain meaningful or redundant? Evidence from the Swedish Stock market 2007-2016

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Marcus Einstulen; [2021]
    Keywords : Asset Pricing Model; Capital Asset Pricing Model; Fama and French Three Factor Model; Portfolio Theory; Swedish Stock Market; Regressions; Students t-test; Business and Economics;

    Abstract : This thesis compared the explanatory power on excess return between the Capital Asset Pricing Model and the Fama and French Three Factor Model on the Swedish Market. Fur- thermore, an evaluation of the independent variables included in the Fama and French Three Factor Model was done. READ MORE

  5. 4. Modern Portfolio Theory Combined With Magic Formula : A study on how Modern Portfolio Theory can improve an established investment strategy.

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

    Author : Axel Ljungberg; Anton Högstedt; [2021]
    Keywords : Magic Formula; Modern portfolio theory; efficient frontier; Efficient market hypothesis; Sharpe ratio; risk-adjusted returns; Jensen’s alpha; beta; CAPM; OMXSPI;

    Abstract : This study examines whether modern portfolio theory can be used to improve the Magic Formula investment strategy. With the assets picked by the investment strategy we modify the portfolios by weighting the portfolios in accordance with modern portfolio theory. READ MORE

  6. 5. What does it cost to invest with preferences? : What does investors lose/gain on investing in sin-stocks versus SRI investing?

    University essay from Högskolan Väst/Avd för juridik, ekonomi, statistik och politik

    Author : Sara Nilsson; Jennifer Ramare; [2021]
    Keywords : SRI-investing; Sin-stocks; risk-adjusted returns; Sharpe ratio; Modern Portfolio Theory;

    Abstract : This paper analyses the difference in risk-adjusted returns between Sin-stocks and SRI-investing for the period 2001-2021. The analysis was conducted by creating two optimally risky portfolios according to the Modern Portfolio Theory, one comprised of only Sin-stocks and one with only high ESG scoring companies. READ MORE