Essays about: "International CAPM"

Showing result 6 - 8 of 8 essays containing the words International CAPM.

  1. 6. Think on the Downside: Multifactor asset pricing models based on downside risk and their performance relative to the CAPM, FF3F and Momentum

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Daniil Bargman; [2012]
    Keywords : downside risk; MLPM; Omega; co-skewness; co-kurtosis;

    Abstract : This paper introduces two new measures of asset performance in a downside risk-­-reward framework. The first measure, Omega-­-H, is an extension of the Omega ratio from Keating and Shadwick (2002a) that captures an asset's idiosyncratic downside risk and upside potential. READ MORE

  3. 7. Pricing of Idiosyncratic Risk in the Nordics

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Nicolas Mcbeath; Christoffer Ask; [2012]
    Keywords : Idiosyncratic risk; Volatility; CAPM; Fama-French three factor model; Nordic equity markets;

    Abstract : We examine the Nordic equity markets during 1992-2011 for the pricing of idiosyncratic risk relative to the CAPM and the Fama-French three factor model. Classical financial theory predicts irrelevance of idiosyncratic volatility (IVOL) for expected returns, while contending theories of undiversified investors and theories from the field of behavioural finance predict a positive relationship. READ MORE

  4. 8. Profitability of Momentum Strategies Around the World

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Amanda Kolobaric; Parisa Khatabakhsh; [2011]
    Keywords : Momentum; zero-cost strategy; international; anomalies; efficient market hypothesis; Business and Economics;

    Abstract : In this paper we investigate the international profitability of momentum strategies for a number of countries during the time period between 1995 and 2010. Positive abnormal returns were generated over 3 to 12 months by strategies buying the best past performance stocks and selling the worst past performance stocks. READ MORE