Essays about: "CAPM apt"

Found 4 essays containing the words CAPM apt.

  1. 1. Estimating the Market Risk Exposure through a Factor Model with Random Effects

    University essay from Linköpings universitet/Tillämpad matematik; Linköpings universitet/Tekniska fakulteten

    Author : Lukas Börjesson; [2022]
    Keywords : Market risk exposure; non-stationary market risk exposure; non-stationary idiosyncratic risk; factor model; linear regression; linear mixed model; random effects; mixture of gaussians.;

    Abstract : In this thesis, we set out to model the market risk exposure for 251 stocks in the S&P 500 index, during a ten-year period between 2011-04-30 and 2021-03-31. The study brings to light a model not often mentioned in the scientific literature focused on market risk estimation, the linear mixed model. READ MORE

  3. 2. Factor Investing and Macroeconomic Risk

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Pascal Buehrig; [2018]
    Keywords : Factor Investing; Macroeconomic Risk; APT; CAPM; Fama French;

    Abstract : This thesis examines the influence of macroeconomic risk on simple investment strategies related to the well-known risk factors size, value and momentum. Based on a sample of 25,224 stocks from ten different countries, quarterly returns between 1999 and 2016 have been analyzed with fixed-effect regression models. READ MORE

  4. 3. Comparing CAPM and APT in the Chinese Stock Market

    University essay from Företagsekonomi

    Author : Lina Zhang; Qian Li; [2012]
    Keywords : ln returns; CAPM; APT Model; Chinese Stock Market; SME Board; ChiNext Board;

    Abstract : As the stock market plays an important role in the global economy and Chinese economy become progressively significant part of the world economy, we are interested in the Chinese stock market. After we compared the methods on the stock market, we choose to use the CAPM and the APT model on Chinese stock market. READ MORE

  5. 4. The future of equity risk premiums : A study of equity risk premium in the Swedish market

    University essay from IHH, Företagsekonomi

    Author : Robert Viberg; Kristin Åberg; [2006]
    Keywords : risk; risk premium; equity risk premium; ex-ante; ex-post; CAPM; APT; risk-free rate;

    Abstract : Bakgrund: Marknadens riskpremie kan förklaras som den förväntade avkastning en investerare kräver för att acceptera en viss risk. Hur riskpremien skall bestämmas har stått i fokus för omfattande debatter de senaste åren men fortfarande har ingen ultimat lösning infunnit sig. READ MORE