Essays about: "Global CAPM"

Showing result 11 - 15 of 20 essays containing the words Global CAPM.

  1. 11. Investing on the risk of company bankruptcy

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

    Author : Jan Wocalewski; Simon Bergman; [2017]
    Keywords : Skogsvik 1990 s pfail; Distress risk anomaly; CAPM; Portfolio analysis; Cross sectional regressions;

    Abstract : We investigate the risk-return relationship between bankruptcy risk, measured by Skogsvik (1990)'s probability of firm failure ("pfail"), and stock returns on a refined stock sample on Stockholmsbörsen between 2002 and 2017. Using portfolio analysis and cross sectional regressions inspired by Fama-MacBeth (1973), we find lacking evidence to support a distress risk premium. READ MORE

  3. 12. Finding Value Through Sustainable Performance : A cross-sectional study of the relationship between risk-adjusted return and Environmental, Social and Governance performance on the Indian stock market

    University essay from Umeå universitet/Företagsekonomi

    Author : Christoffer Johansson; Petter Lundström; [2015]
    Keywords : ESG; India; Risk-adjusted return; Screening; Efficient markets;

    Abstract : Problem background and discussion: Emerging countries economies are growing substantially; one of these is India which stock market has been one of the best performing in the world in recent years. Analysts are forecasting further development and some claims that India has the most business- and investment-stimulating political leaders in the world. READ MORE

  4. 13. Equity Research Analyst Bias in Stock Recommendations

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Erik Ahl; Filip Hedin; [2014]
    Keywords : stock recommendations; recommendation bias; market efficiency; equity research;

    Abstract : We acknowledge the lack of empirical studies of equity research analysts' ability to generate abnormal returns on the Swedish stock market and the global absence of studies measuring performance throughout complete recommendation periods. A unique sample of 705 equity research analyst recommendations from 2004 to 2013 from leading Swedish investment banks ABG Sundal Collier, Carnegie, Nordea and SEB on the OMXS30 constituent stocks are studied in order to investigate whether analysts have better long-run predictive abilities in their sell relative to their buy recommendations. READ MORE

  5. 14. Credit, Liquidity and Emerging Market Risk in the Global Equity Market

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Dan-Alexandru Alexandru; Pavels Berezovskis; [2013]
    Keywords : Credit Risk; Liquidity Risk; Emerging Market Risk; Asset Pricing Model; Dynamic Orthogonalization;

    Abstract : We use data on 78 national market indices over 9 years and show that the world CAPM fails to explain stock market index excess returns both in time-series and in cross-section. We introduce credit, liquidity and emerging market factors and report that the performance of the pricing model is increased, with liquidity and emerging market contributing most. READ MORE

  6. 15. CAPM-β of Carriers and Consolidators in Liner Shipping: Volume Contracts under the Rotterdam Rules in Perspective

    University essay from Lunds universitet/Företagsekonomiska institutionen

    Author : Vytautas Matilionis; Abhinayan Basu Bal; [2013]
    Keywords : time-varying CAPM-β; liner shipping; cargo consolidators; freight forwarders; volume contracts; service contract; Kalman filter; regulatory changes; market power; Business and Economics; Law and Political Science;

    Abstract : Liner shipping, which provides transportation by ships operating on a regular schedule between specified ports in accordance with publicly available timetables of sailing dates, is now a mature industry. The various players which are part of the liner shipping industry, namely, ocean carriers, port operators, freight forwarders or consolidators, customs, hinterland haulage carriers, inland navigation carriers, market regulators, etc. READ MORE