Essays about: "CAPM and portfolio theory"

Showing result 6 - 10 of 17 essays containing the words CAPM and portfolio theory.

  1. 6. Is Sustainability Profitable?

    University essay from Lunds universitet/Företagsekonomiska institutionen

    Author : Nils Betsholtz; Anton Lindström; Edvard Wennerberg; [2020]
    Keywords : ESG; STOXX 600; Fama-French multifactor factor model; CAPM; Carhart four-factor model; Panel data fixed effect; Business and Economics;

    Abstract : This paper examines the relationship between the ESG-score, including its pillars Environment, Social and Governance and market return from July 2002 through June 2018 by using the Stoxx Europe 600 index. The comparison is done by applying a portfolio approach and panel data fixed effect approach. READ MORE

  3. 7. Sustainable Investments

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Märta Sandberg; [2019]
    Keywords : Sustainable investments; financial performance; ESG rating; Fama-French three-factor model; Fama-French five-factor model; CAPM; Business and Economics;

    Abstract : This paper investigates the relationship between financial performance and sustainable performance. More specifically, it investigates whether sustainable firms outperform less sustainable firms. The sustainable performance is based on companies received ESG score. READ MORE

  4. 8. Financial Behavior and the Momentum Strategy

    University essay from Lunds universitet/Företagsekonomiska institutionen

    Author : Olle Josefsson; Emil Eliasson; Fredrik Thörning; [2018]
    Keywords : Behavioral Finance; Momentum Strategy; CAPM; Sharpe Ratio and Trading; Business and Economics;

    Abstract : Title: Financial Behavior and the Momentum Strategy Seminar date: 2018-05-31 Course: FEKH89, Bachelor’s Degree Project in Financial Management, Business Administration, Undergraduate Level, 15 ECTS Authors: Emil Eliasson, Olle Josefsson, Fredrik Thörning Advisor: Maria Gårdängen Purpose: The authors of this thesis aim to study if it is possible to generate a better Sharpe ratio within the CAPM-theory using a mathematical model to buy and sell a risky asset depending on the market volatility. The authors then aim to explain the changes in volatility by discussing anomalies in the market. READ MORE

  5. 9. Screening techniques, sustainability and risk adjusted returns. : - A quantitative study on the Swedish equity funds market

    University essay from Umeå universitet/Företagsekonomi

    Author : Tobias Ögren; Petter Forslund; [2017]
    Keywords : ;

    Abstract : Previous studies have primarily compared the performance of sustainable equity funds and non-sustainable equity funds. A meta-analysis over 85 different studies in the field concludes that there is no statistically significant difference in risk-adjusted returns when comparing sustainable funds and non-sustainable funds. READ MORE

  6. 10. A Study on the Low Volatility Anomaly in the Swedish Stock Exchange Market : Modern Portfolio Theory

    University essay from Linköpings universitet/Nationalekonomi; Linköpings universitet/Fysik och elektroteknik

    Author : George Abo Al Ahad; Denis Gerzic; [2017]
    Keywords : Fama and Macbeth; Fama and French; Low Volatility Anomaly; Stock; Market; Portfolio Theory; CAPM; Econometrics; Expected return forecasting;

    Abstract : This study investigates, with a critical approach, if portfolios consisting of high beta stocks yields more than portfolios consisting of low beta stocks in the Swedish stock exchange market. The chosen period is 1999-2016, covering both the DotCom Bubble and the financial crisis of 2008. READ MORE