Essays about: "assumptions of capm"

Showing result 1 - 5 of 9 essays containing the words assumptions of capm.

1. 1. On the relationship between green preferences and returns

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Ella Klynning; Cornelia Frick; [2020]
   Keywords : Green investing; Behavioural finance; Capital asset pricing model; Investor preference; Nonpecuniary preference; Business and Economics;

   Abstract : Abstract The care for the environment in investment situations is rising among different groups of investors, due to social and psychological factors. Existing studies on nonpecuniary preferences for the environment are focused on measuring the proportion of individuals with green agendas, whereas we focus on measuring also magnitudes, i.e. READ MORE

3. 2. Keen for Green - A Study of Pricing in the Secondary Green Bond Market

   University essay from Lunds universitet/Företagsekonomiska institutionen

   Author : Rickard Anderkrans; Patrik Johannesson; [2019]
   Keywords : Green bonds; Panel data; Issuer fixed effects regression; Capital asset pricing model; Investor preference; Business and Economics;

   Abstract : The emerging green bond market is a novel research area with only a few studies being published in recent years. The increase in interest from issuers, investors, and academia shows the clear need for further investigation of the pricing dynamics affecting the green bond market. READ MORE

4. 3. The Performance of Gross-Profit to Asset on the Swedish Stock Market : A comparison to Book-to-Market and Earnings-to-Price in a time frame of 1994-2013

   University essay from Umeå universitet/Företagsekonomi

   Author : Larissa Emde; Cem Yildirim; [2016]
   Keywords : Gross-Profit to Asset; GPA; Book-to-Market; BP; Earnings-to-Price; EP; Swedish Stock Market; portfolio performance; value investing; quality investing;

   Abstract : This thesis examines the performance of portfolios sorted by gross-profit-to-asset (GPA) as a quality investing on the Swedish stock exchange. It constructs long-only portfolios and long-short portfolios sorted by GPA, book-to-market (B/P) and earnings-per-price (E/P). Thus, the thesis includes quality and value investing. READ MORE

5. 4. How to beat the Baltic market : An investigation of the P/E effect and the small firm effect on the Baltic stock market between the years 2000-2014

   University essay from Umeå universitet/Företagsekonomi

   Author : Oscar Hallberg; Filip Arklid; [2015]
   Keywords : Efficient market hypothesis; behavioral finance; CAPM; anomalies; P E effect; small firm effect; abnormal return; significance test; regression analysis; emerging market; Baltic market;

   Abstract : The question many investors ask is whether or not it is possible to beat the market andearn money by being active on the stock market. In efficient markets this should not be possible, but several researches have come up with strategies that prove the opposite. READ MORE

6. 5. Risk Attitudes and the Equity Premium Puzzle: empirical tests in a cross-country setting

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Max Rylander; [2015]
   Keywords : Equity Premium Puzzle; Myopic Loss Aversion; Ambiguity Aversion; Cultural dimensions; Cultural stationarity;

   Abstract : This study utilises panel data, Equity Home Bias measurements and a two-stage estimation process incorporating one version of the international CAPM to extract comparable input data and test country-scores for risk preferences, risk aversion and time discounting as well as country scores on broader cultural dimensions, on country-estimates of the Equity Risk Premia. The risk attitude scores, which just recently have been made available, are such that they may proxy for irrational behaviours which have been theorized to explain the Equity Premium Puzzle, and enable a rigorous way to empirically test such an effect. READ MORE