Essays about: "CAPM stock evaluation"

Showing result 1 - 5 of 12 essays containing the words CAPM stock evaluation.

1. 1. Analysing M&A performance Using CAPM to Evaluate the Acquiror’s systematic risk in investment strategies

   University essay from Blekinge Tekniska Högskola

   Author : Kakwano Rodney; [2024]
   Keywords : mergers and acquisitions systematic risk;

   Abstract : The purpose of this paper is to analyse the acquiror’s post M&A systematic risk using the stock performance evaluation by determining the change in beta (post M&A and Pre-M&A). and further determine the impact and significancy of M&A characteristics from the previous studies that have an explanatory value that may lead to a change in the systematic risk. 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. The Effects of ESG Scores onStock Performance : A study of the risk-adjusted performance on European stocks

   University essay from Uppsala universitet/Företagsekonomiska institutionen

   Author : Katarina Ovuk; Angelica Grahovac; [2022]
   Keywords : ESG; environmental; social; governance; sustainability; abnormal returns; risk-adjusted performance; sustainable investing.;

   Abstract : This thesis aims to examine the relationship between ESG (Environmental, Social and Governance) ratings and the performance of European stocks. The purpose of this study is to examine the existing evidence pertaining to this relationship and the contradictory results that have been offered by previous scholars. READ MORE

5. 4. 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

6. 5. Performance Evaluation of Small- and Large-cap stocks - The importance of size effects on the Swedish equity market

   University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

   Author : Andreas Carlsson; Erik Hulth; [2019-02-20]
   Keywords : Performance Evaluation; Asset pricing; Size Effect; Sharpe Ratio; Treynor ratio; Jensen´s alpha; Risk-Adjusted Returns; Fama-French Three-Factor Model; Carhart Four-Factor Model; Multi-factor models; Single-factor model;

   Abstract : This Bachelor´s thesis investigated the performance of small-cap stocks and large-cap stocks on the Swedish equity market (NASDAQ OMX) over the years 2011 to 2016. A number of studies focused on asset pricing have during the last decades indicated that the original Capital Asset Pricing Model (CAPM) is misspecified and has limited power to explain cross-sectional and temporal variations in expected equity returns. READ MORE