Essays about: "Empirical Asset Pricing"

Showing result 21 - 25 of 64 essays containing the words Empirical Asset Pricing.

  1. 21. Green Bonds: A Study on Expected Returns and Liquidity Effects

    University essay from Göteborgs universitet/Graduate School

    Author : Carl-Anton Bryngelsson; Anton Gavin; [2019-08-08]
    Keywords : Green bonds; Liquidity; Bid-Ask Spread; Fixed income; Expected return; Asset pricing; Bond pricing;

    Abstract : The emerging market of Green bonds has seen a positive growth over the recent years in the presence of the Paris objective of limiting the global warming to 2°C by the year 2100. In addition, fuelled the attention from a broader audience of issuers and investors. READ MORE

  3. 22. An Empirical Study of CAPM, the Fama-French three-factor and the Fama-French five-factor Model - A Study Performed on the Swedish Stock Market.

    University essay from

    Author : Felix Ljungström; Sebastian Nilsson; [2019-06-26]
    Keywords : CAPM; Fama-French; Asset pricing; Swedish Stock Market;

    Abstract : This thesis aims to add further research about the Fama-French five-factor model and its ability to explain average returns on the Swedish Stock Market. Additionally, the study also investigates and compares the performance of CAPM, the Fama-French three-factor model and the Fama-French five-factor model. READ MORE

  4. 23. 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

  5. 24. Asset pricing and risk evaluation in the housing market : An empirical analysis of the Swedish housing market

    University essay from KTH/Fastigheter och byggande

    Author : Panagiotis Matiakis; [2019]
    Keywords : Risk assessment; Swedish housing market; asset pricing; quantitative analysis; beta modelling; causal relationship; Risk analys; Svensk bostadsmarknad; tillgångsvärdering; kvantitativ analys; beta modellering; orsakssamband;

    Abstract : During the recent years, the Swedish housing market has developed into a topic of major interest, both domestically and internationally. The sky-rocketing prices, the uprising demand together with the housing shortage, and the market bubble ongoing debate, have resulted in the discussion of risk being more relevant than ever before. READ MORE

  6. 25. Solving the Valuation Paradox - Applying Hedonic Valuation to Paradoxical Companies

    University essay from Handelshögskolan i Stockholm/Institutionen för redovisning och finansiering

    Author : Barbora Gajarova; Xurui Qin; [2019]
    Keywords : equity valuation; paradoxical company; hedonic regression; residual income valuation RIV model; pricing errors;

    Abstract : Traditional valuation models that are widely used by investors and scholars, for instance, residual income valuation (RIV) model, do not yield accurate results when valuing paradoxical companies, i.e. companies with the market value significantly above the book value and high growth, despite not generating positive payoffs. READ MORE