Essays about: "empirical testing of capm"

Showing result 1 - 5 of 6 essays containing the words empirical testing of capm.

  1. 1. How Does the Three-factor Model Perform and What Explains its Performance? Empirical tests on Swedish stock portfolios

    University essay from Lunds universitet/Nationalekonomiska institutionen; Lunds universitet/Statistiska institutionen

    Author : Daniel Björck; [2023]
    Keywords : Three-factor model; stock returns; Swedish stocks; CAPM; Business and Economics;

    Abstract : In this study the three-factor model of Fama and French (1992; 1993) is evaluated on portfolios of Swedish stocks. Both a cross-section and time series approach are used to evaluate the model. The results show that beta, size, and book-to-market are significant variables in explaining excess returns of Swedish stock portfolios. READ MORE

  3. 2. Multi-Factor Extensions of the Capital Asset Pricing Model: An Empirical Study of the UK Market

    University essay from Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

    Author : Calum Johnson; [2015]
    Keywords : Asset Pricing Models; Portfolio Theory; Applied Mathematics; Finance; CAPM; Equities; UK;

    Abstract : The point of this thesis is to compare classic asset pricing models using historic UK data. It looks at three of the most commonly used asset pricing models in Finance and tests the suitability of each for the UK market. READ MORE

  4. 3. Empirical Researches of the Capital Asset Pricing Model and the Fama-French Three-factor Model on the U.S. Stock Market

    University essay from Akademin för ekonomi, samhälle och teknik

    Author : Dingquan Miao; Xin Yi; [2013]
    Keywords : expected return and risk; single-factor CAPM; Fama-French three-factor model; OLS regression;

    Abstract : The aim of this paper is to use the US stock market index to construct different portfolios and test the possible differences in the validity between the capital asset pricing model (CAPM) and the Fama and French three-factor model for the US market. We perform a comprehensive analysis of the two models, and form risk factors that are applied with advanced methods from recent literatures. READ MORE

  5. 4. Cross-Section of Stock Returns: : Conditional vs. Unconditional and Single Factor vs. Multifactor Models

    University essay from Handelshögskolan vid Umeå universitet

    Author : Rustam Vosilov; Nicklas Bergström; [2010]
    Keywords : Cross-section of stock returns; asset-pricing model empirical tests; CAPM; Fama-French; conditional asset-pricing models; time-varying beta; time-varying risk; conditional beta; cross-sectional regression; time series regression; financial market anomalies; value premium; size premium; momentum effect;

    Abstract : The cross-sectional variation of stock returns used to be described by the Capital Asset Pricing Model until the early 90‟s. Anomalies, such as, book-to-market effect and small firm effect undermined CAPM‟s ability to explain stock returns and Fama & French (1992) have shown that simple firm attributes, like, firm size and book-to-market value can explain the returns far better than Beta. READ MORE

  6. 5. In Search of a Leverage Factor in Stock Returns: An Empirical Evaluation of Asset Pricing Models on Swedish Data

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Beniam Poutiainen; David Zytomierski; [2010]
    Keywords : Asset pricing; CAPM; Carhart; Fama-French; Leverage factor;

    Abstract : Theoretical finance regards leverage as one of the sources of stock return risk, and thus claims that the more levered a firm is, the higher the risk for equity holders and the higher the required rate of return. As asset pricing has matured into an important area of finance, new factors have been incorporated into the CAPM, following observed anomalies in stock returns. READ MORE