Essays about: "beta return"

Showing result 36 - 40 of 55 essays containing the words beta return.

  1. 36. Exploring Beta’s Changing Behavior ofSwedish Real Estate Stocks

    University essay from KTH/Fastigheter och byggande

    Author : Medhat Khalil; [2013]
    Keywords : Beta; Asymmetric beta; Time varying beta; Risk; Real Estate; Stocks; Equity; Sweden;

    Abstract : This study aims to analyze the beta and risk behavior of the Swedish listed real estate stocks. Such a study will provide a clearer picture for investors and researchers about the changing nature of that behavior over time. The research method is based on descriptive statistics and CAPM beta regression analysis of the monthly returns. READ MORE

  3. 37. Stock splits in confliction with the economic irrelevance of shares outstanding : An event study on the Stockholm Stock Exchange

    University essay from Företagsekonomi

    Author : K.M. Abdur Rahaman; Lasse Lipponen; [2012]
    Keywords : Stock splits; Stockholm Stock Exchange; return variance; systematic risk; beta;

    Abstract : A survey is conducted through an event study on the Stockholm Stock Exchange based on 119 historical stocks splits with a split factor of at least two, for the years between 1997 and 2012. This study has tested if there is an increase in return variance and systematic risk followed by a stock split. READ MORE

  4. 38. High-Frequency Risk Exposures of Swedish Hedge Funds

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Johan Espinosa; [2012]
    Keywords : Swedish Hedge Fund; time-variation; risk exposure; beta; performance evaluation;

    Abstract : From collected return data of 61 Swedish hedge funds, the capacity of several asset-pricing models to capture the risk exposure of the funds has been evaluated between June 2006 and September 2011. After testing more conventional models, a time-varying model inspired by Patton and Ramadorai (2011) has been constructed to capture the dynamic nature of hedge funds' risk exposure, using publicly available conditioning variables. READ MORE

  5. 39. The Performance of Nordic Insurance Stocks -A perspective from the abnormal return and the equity beta

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Hengye Li; [2012]
    Keywords : Equity Beta; Abnormal Return; CAPM-GARCH model; Business and Economics;

    Abstract : Abstract: The paper examined two important components in the CAPM model, Jensen’s alpha and equity beta, on the Nordic Insurance Index from 2003 to 2011. We found that the Insurance stocks in the Nordic markets provided abnormal returns of 15. READ MORE

  6. 40. 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