Essays about: "Nicolas Mcbeath"

Found 1 essay containing the words Nicolas Mcbeath.

  1. 1. 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