Essays about: "beta return"
Showing result 6 - 10 of 53 essays containing the words beta return.
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6. Black Swan Investments : How to manage your investments when the market is in distress
University essay from Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO)Abstract : This study examines how investors can take advantage of Black Swan events by applying an investment strategy that involves investing in stocks that have performed badly during Black Swan events. The stocks are chosen from and compared to the Dow Jones Industrial Average Index. READ MORE
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7. Chasing Sustainable Stocks: A Superior Investment Decision? - An ESG Investment Study
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : Sustainable investing is trending, amounting to $30 trillion in assets under management world-wide in 2018 and it is predicted to grow even larger in the years to come. This thesis studies ESG portfolio performance of three comparable portfolios, a Sustainable, a Good Enough and an Unsustainable portfolio constructed using ESG-score in relation to their Global Industrial Classification Standard (GICS), between 2004 - 2018 in the U. READ MORE
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8. Momentum Returns in Different Market Climates: Evidence from the Pakistani Stock Market
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : In our study, we investigate the risk-return relationship under different market-climates for the momentum strategy on the Pakistan stock exchange (PSX) between February 1999 and February 2019. We test three strategies with different formation/holding-periods; 3/3, 6/6 and 12/3. We use a single-factor model (CAPM) to analyze these relationships. READ MORE
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9. Speculative Betas in Europe - Based on Evidence from Western European Stocks and Bonds
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : 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
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10. The Asset Pricing Implication on CSI 300 Index China of Monetary Policy Announcement
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : 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