Essays about: "Capital Asset Pricing Model"

Showing result 16 - 20 of 105 essays containing the words Capital Asset Pricing Model.

1. 16. Is Illiquidity a Good Proxy for Risk? : Can illiquidity have an effect on growth firms' expected return?

   University essay from Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO)

   Author : Vilma Carlberg; Christina Gyllner; [2022]
   Keywords : AILLIQ; ILLIQ; risk; return; capital asset pricing model; liquidity; illiquidity; small-cap; t-test;

   Abstract : As previous researchers have discussed the paradigm of risk and return, this study also suggests illiquidity as a good proxy for risk. An illiquid asset, thus higher risk, should generate high return. READ MORE

3. 17. Fundamental Indexation Smart Beta Strategy on the Swedish Market- Enhancing risk-adjusted performance with Fundamental Indexation

   University essay from Göteborgs universitet/Graduate School

   Author : Tommy Saliba; Philip Thulin; [2021-06-30]
   Keywords : Smart Beta; Fundamental Indexation; CAPM; EMH; Value; Quality; Momentum; Low Volatility; Factor Investing;

   Abstract : Smart Beta strategies’ ability to combine the benefits of active- and passive investing has caught the attention of the Asset Management industry – propelling a surge in new Smart Beta products. These strategies offer a novel approach to factor investing by not weighting assets according to the typical cap-weighting scheme, instead applying weighting methods such as fundamental indexation, yielding a new dimension to factor-oriented strategies. READ MORE

4. 18. Performance of Small- and Large-cap stock portfolios- The importance of market anomalies across business cycles

   University essay from Göteborgs universitet/Graduate School

   Author : Erik Hulth; [2021-06-30]
   Keywords : Stock performance; Market anomalies; Asset pricing; Portfolio sorting techniques; Factor-portfolio sorting techniques; Value effect; Size effect; Momentum effect; Temporal influences; Business cycles; GDP-gap; Single-and Multi- Factor models; CAPM; Fama-French Three-Factor model; Carhart Four-Factor model; Risk-adjusted equity returns; Sharpe Ratio; Jensen´s alpha; NASDAQ OMX and NYSE;

   Abstract : This Master´s thesis investigated the importance of the market anomalies size (market capitalization), value (Book-to-Market ratio) and momentum (lagged short-term momentum) for equity returns of small- and large-cap composite stock portfolios. The study focused on two contrasting stock markets (NASDAQ OMX and NYSE) across domestic business cycles over the time-period 2006 to 2021. READ MORE

5. 19. The influence of EPS and DPS on share price movements in Nordic tenbaggers

   University essay from

   Author : Jakob Häger; Oscar Karlsson; [2021-06-28]
   Keywords : Firm performance; Asset pricing; Earnings per share; Dividend per share; Share price; Stocks; Nordics; Tenbaggers;

   Abstract : This study investigates the influence of earnings per share (EPS) and dividend per share (DPS) on the share price movements of tenbaggers in the Nordic region. The term tenbagger was first coined by the famous investor Peter Lynch and it refers to shares that have generated a return of over 900 percent. READ MORE

6. 20. Performance Evaluation of Swedish and German Actively Managed Mutual Funds

   University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

   Author : Robin Cederdahl; Simon Olofsson; [2021-02-18]
   Keywords : ;

   Abstract : There are many studies examining the performance of actively managed mutual funds in different markets. The results of these studies vary depending on the used model and market. READ MORE