Essays about: "bottom up beta"

Found 2 essays containing the words bottom up beta.

  1. 1. 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. 2. B-Values : Risk Calculation for Axfood and Volvo Bottom up beta approach vs. CAPM beta

    University essay from Institutionen för teknik och samhälle

    Author : Divesh Ljungström; [2007]
    Keywords : CAPM; Jensen’s measure alpha; Security market line; Bottom-up Betas; Levered Beta; Unlevered Beta; Required return on Equity; Debt Equity ratio.;

    Abstract : The aim of this thesis is to study the risk for two Swedish companies, Axfood and Volvo. To test the required return on equity, a bottom-up beta approach and a CAPM regression beta are used. READ MORE