Essays about: "Using CAPM"

Showing result 16 - 20 of 89 essays containing the words Using CAPM.

  1. 16. Replicating the retailers' trading imbalance anomaly : A quantitative study about excess return opportunities on Swedish Small Cap listed firms

    University essay from Uppsala universitet/Företagsekonomiska institutionen

    Author : Erik Kroon; Tom Karlsson; [2021]
    Keywords : retailers; rrading; imbalances; anomaly; anomalies; replicating; broker statistics; asset pricing models; CAPM; Fama and MacBeth;

    Abstract : Previous research conducted on the US markets has found that retailers' trading imbalances can contribute to excess return opportunities, especially on Small Cap stocks. Therefore, we argue that this can be seen as an anomaly. However, anomalies that are found historically may not tell the whole truth. READ MORE

  3. 17. Responsible Investing: Costs and Benefits. A Cross-Country Study in Europe.

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Shayan Meskinimood; [2021]
    Keywords : Responsible investing; Environmental awareness; Portfolio performance; ESG-Sharpe Ratio frontier; ESG-adjusted CAPM.; Business and Economics;

    Abstract : This study employs the ESG-Sharpe Ratio frontiers framework and the ESG-adjusted CAPM model, introduced by Pedersen et al. (2020), to identify the costs and benefits of responsible investing and investigate the relationship between the environmental, social, and governance (ESG) issues and portfolio performance in different countries across Europe. READ MORE

  4. 18. Modern Portfolio Theory Combined With Magic Formula : A study on how Modern Portfolio Theory can improve an established investment strategy.

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

    Author : Axel Ljungberg; Anton Högstedt; [2021]
    Keywords : Magic Formula; Modern portfolio theory; efficient frontier; Efficient market hypothesis; Sharpe ratio; risk-adjusted returns; Jensen’s alpha; beta; CAPM; OMXSPI;

    Abstract : This study examines whether modern portfolio theory can be used to improve the Magic Formula investment strategy. With the assets picked by the investment strategy we modify the portfolios by weighting the portfolios in accordance with modern portfolio theory. READ MORE

  5. 19. Commercial forestland investments : a comparative analysis of ownership objectives

    University essay from SLU/Dept. of Forest Economics

    Author : Mikael Olsson; Gustaf Sparrevik; [2021]
    Keywords : Capital Asset Pricing Model; CAPM; forest estates; legal entity; property market; vertical integration; taxes;

    Abstract : Since the early 1990s interest rates have been decreasing, which has led to lowered yield on traditional secure financial assets as bonds. It has resulted in a flow of capital in the financial market towards alternative investments in the search for yield beyond the stock market. READ MORE

  6. 20. Performance of Value and Growth companies with different ESG rankings: Evidence from the US stock market

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Valentiina Repka; [2021]
    Keywords : ESG Risk; Value Stocks; Growth Stocks; Portfolio Performance; CAPM; Factor Models; Business and Economics;

    Abstract : The purpose of this paper is to focus on sustainable investments and to observe if the performance can be improved by combining the aspect of value and growth investments. The sample consists of groups of companies which are representing value or growth with either high or low ESG risk level. READ MORE