Essays about: "beta return"

Showing result 11 - 15 of 55 essays containing the words beta return.

  1. 11. Speculative Betas in Europe - Based on Evidence from Western European Stocks and Bonds

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Bence Földi; Tiran Zhao; [2018]
    Keywords : Asset pricing; Heterogeneous beliefs; Disagreement; Speculative betas; Security Market Line;

    Abstract : We find and present compelling evidence to reject the classic one-regime CAPM Security Market Line based on data from developed European equity markets which we proxy by taking the original 12 members of the euro area combined with the UK. We construct a bottom-up measure for aggregate disagreement which we prove to negatively influence the curvature of the Security Market Line. READ MORE

  3. 12. The Asset Pricing Implication on CSI 300 Index China of Monetary Policy Announcement

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Chenxi Zheng; Yuning He; [2018]
    Keywords : Market Beta; Excess Return; Chinese Stock Market; Monetary Policy; CAPM;

    Abstract : Based on Fama-MacBeth method, three stages of regression are conducted to explore the relationship between stock beta and its excess return from 2003 to 2017 on the Chinese stock market in this paper. This thesis aims to explore the effects of monetary policy on the relationship between market beta and average excess return. READ MORE

  4. 13. CATASTROPHE BONDS - An investment analysis of their performance and diversification benefits

    University essay from

    Author : Viktor Karlsson; Emelie Karnebäck; [2017-07-03]
    Keywords : ;

    Abstract : This thesis employs total return indices to investigate if catastrophe bonds are zero-beta assets and how they have performed compared to other assets. We conduct time series regressions and conclude that catastrophe bond returns are correlated with both the return of the equity- and the high yield corporate bond market during the subprime financial crisis, but find no significant correlation after the crisis. READ MORE

  5. 14. A Study on the Low Volatility Anomaly in the Swedish Stock Exchange Market : Modern Portfolio Theory

    University essay from Linköpings universitet/Nationalekonomi; Linköpings universitet/Fysik och elektroteknik

    Author : George Abo Al Ahad; Denis Gerzic; [2017]
    Keywords : Fama and Macbeth; Fama and French; Low Volatility Anomaly; Stock; Market; Portfolio Theory; CAPM; Econometrics; Expected return forecasting;

    Abstract : This study investigates, with a critical approach, if portfolios consisting of high beta stocks yields more than portfolios consisting of low beta stocks in the Swedish stock exchange market. The chosen period is 1999-2016, covering both the DotCom Bubble and the financial crisis of 2008. READ MORE

  6. 15. A  smart beta investment strategy to make risk more transparent : A quantitative study as a contribute to lowering the systemic risk, without sacrifice of return.

    University essay from Mittuniversitetet/Avdelningen för ekonomivetenskap och juridik

    Author : Fredrik Kristoffersson; [2017]
    Keywords : Smart beta; smart beta strategy; portfolio strategy; risk transparency; indexing investing; CAPM; Stockholmsbörsen; systemic risk;

    Abstract : This study have focused on the creation of a smart beta investment strategy to make risks in terms of beta for individual assets more transparent, and to explore if the constructed portfolios risk in terms of standard deviation significantly gets lower than for different benchmark indexes. The strategy could be used for investors who want to decrease their contribution to systemic risk, without sacrificing return. READ MORE