Essays about: "Using CAPM"

Showing result 6 - 10 of 89 essays containing the words Using CAPM.

  1. 6. Stockholm Stock Exchange and Environmental Rating – A Multifactor Analysis

    University essay from Göteborgs universitet/Graduate School

    Author : Carl Helldén; Julia Lamers; [2022-06-29]
    Keywords : ESG; Environmental; asset pricing models; screening strategies;

    Abstract : The thesis investigates if investors can generate positive abnormal performance by investing in Environmental high-rated stocks on the Stockholm stock exchange based on three screening strategies; positive, negative and best-in-class for value-weighted, long-only and long-short portfolios. The sample is between 2010-2020, using CAPM, Fama-French three factor model and Carhart four factor model. READ MORE

  3. 7. Does CSR Actually Hurt Profitability? A Study on the Impact of US Firms' Corporate Social Responsibility Performance on Accounting and Market Metrics of Financial Profitability

    University essay from Handelshögskolan i Stockholm/Institutionen för marknadsföring och strategi

    Author : Gian Luca Hedenström; Jacopo Breschi; [2022]
    Keywords : CSR; Corporate Financial Profitability; Accounting and Market Profitability; Stakeholder Theory; ESG;

    Abstract : Researchers have long investigated the relationship between firms' corporate social responsibility (CSR) performance and corporate financial performance (CFP) without reaching a consensus. Several scholars highlight the multiple economic benefits that firms increasing CSR performance can enjoy. READ MORE

  4. 8. Mispricing of Climate Risk

    University essay from Lunds universitet/Företagsekonomiska institutionen

    Author : Lovisa Dahlquist; Lena Maria Tschanhenz; [2022]
    Keywords : Bloomberg GHG estimates; Risk premium for climate risk; ESG reporting; Sustainable investing; Stock market equilibrium; Business and Economics;

    Abstract : Purpose: Study the relationship between stock returns and GHG emissions regarding a risk premium related to greenness. This by using GHG emissions estimated by Bloomberg rather than companies self-reported estimates. Methodology: The study conducts a time-invariant model by cross-sectional OLS regression to estimate the risk premium for greenness. READ MORE

  5. 9. Value creation in sponsored and non-sponsored spin-offs

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

    Author : André Sjögren; [2022]
    Keywords : Spin-offs; Ownership; Sponsors; Excess Returns; CAPM;

    Abstract : I examine whether spin-offs create value and if there is a difference between sponsored and non-sponsored firms by examining announcement-day share price performance, long-term share price performance, and long-term change in operational performance. The measures used were calculated on an unadjusted basis, in line with prior research, and on a risk-adjusted basis, using the Capital Asset Pricing Model. READ MORE

  6. 10. ESG: The Relationship Between “Ethical” Investing and Abnormal Returns

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Per Malm; [2022]
    Keywords : ESG; Abnormal Returns; High Minus Low; Asset Pricing Model; Business and Economics;

    Abstract : This essay examines the relationship between ESG and abnormal returns and its implications on investing. To investigate this topic, I allocate stocks into zero-investment portfolios based on high and low ESG, using three different weighting methods, equal weighting, value weighting and portfolio optimization. READ MORE