Essays about: "CAPM-GARCH model"
Found 1 essay containing the words CAPM-GARCH model.
1. The Performance of Nordic Insurance Stocks -A perspective from the abnormal return and the equity betaUniversity essay from Lunds universitet/Nationalekonomiska institutionen
Abstract : Abstract: The paper examined two important components in the CAPM model, Jensen’s alpha and equity beta, on the Nordic Insurance Index from 2003 to 2011. We found that the Insurance stocks in the Nordic markets provided abnormal returns of 15. READ MORE