Essays about: "CAPM assumptions"

Showing result 6 - 9 of 9 essays containing the words CAPM assumptions.

  1. 6. Investing Responsibly - Benefits for the Ethical Investor

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Robin Ringkvist; Emir Borovac; [2014]
    Keywords : Finance; ESG; CSR; Emerging markets; Portfolio evaluation; Business and Economics;

    Abstract : This thesis discusses whether Corporate Social Responsibility (CSR) can affect a company’s, and consequently a portfolio’s, stock market performance. The study presupposes the regular assumptions drawn from CAPM. READ MORE

  3. 7. Can we replace CAPM and the Three-Factor model with Implied Cost of Capital?

    University essay from Företagsekonomiska institutionen

    Author : Robert Löthman; Eric Pettersson; [2014]
    Keywords : Implied Cost of Capital; CAPM; Three-Factor model; expected returns; abnormal returns;

    Abstract : Researchers criticize predominant expected return models for being imprecise and based on fundamentally flawed assumptions. This dissertation evaluates Implied Cost of Capital, CAPM and the Three-Factor model abilities to estimate returns. We study each models expected return association to realized return and test for abnormal returns. 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. Kapitalstruktur : Skuldsättningens inverkan på företagens börsvärde och avkastning åren 2007 och 2009.

    University essay from Institutionen för ekonomi och företagande

    Author : Sakib Zaman; Rabbi Mohsin; [2010]
    Keywords : Kapitalstruktur; skuldsättning; avkastning;

    Abstract : Problem: Does the overall economic situation effect the above? Does a higher debt to equity ratio lead to higher market value and return on equity?  Purpose: The purpose of this thesis is to get an understanding of how a company’s level of debt affects its value and return depending on the overall economic business cycle, and if an investor can use this information when choosing investments.  Methodology: This thesis takes a deductive research approach. READ MORE