Essays about: "master thesis capm"

Found 5 essays containing the words master thesis capm.

  1. 1. Performance of Small- and Large-cap stock portfolios- The importance of market anomalies across business cycles

    University essay from Göteborgs universitet/Graduate School

    Author : Erik Hulth; [2021-06-30]
    Keywords : Stock performance; Market anomalies; Asset pricing; Portfolio sorting techniques; Factor-portfolio sorting techniques; Value effect; Size effect; Momentum effect; Temporal influences; Business cycles; GDP-gap; Single-and Multi- Factor models; CAPM; Fama-French Three-Factor model; Carhart Four-Factor model; Risk-adjusted equity returns; Sharpe Ratio; Jensen´s alpha; NASDAQ OMX and NYSE;

    Abstract : This Master´s thesis investigated the importance of the market anomalies size (market capitalization), value (Book-to-Market ratio) and momentum (lagged short-term momentum) for equity returns of small- and large-cap composite stock portfolios. The study focused on two contrasting stock markets (NASDAQ OMX and NYSE) across domestic business cycles over the time-period 2006 to 2021. READ MORE

  3. 2. The Swedish equity market: Anomalies and pricing contributions using portfolio sorting techniques

    University essay from Göteborgs universitet/Graduate School

    Author : Max Hulth; Gustav Nilsson; [2018-07-04]
    Keywords : Asset pricing; Anomalies; Portfolio sorting; CAPM; Fama French three-factor model; Carhart four-factor model;

    Abstract : The Capital Asset Pricing Model (CAPM) is a widely used tool to describe the risk-return relationship for stocks. Several studies focusing on asset pricing have during the last decades indicated that the one-factor model CAPM is associated with limitations to explain the cross-sectional and time variation in expected stock returns. READ MORE

  4. 3. TESTING THE CAPM AND THE FAMA-FRENCH 3-FACTOR MODEL ON U.S. HIGH-TECH STOCKS

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Ville Kari; Steffen Gausselmann; [2017]
    Keywords : CAPM; Fama-French Three-Factor Model; U.S. high-tech stocks; Business and Economics;

    Abstract : This master’s thesis tests the capital asset pricing model (CAPM) and the Fama-French 3-factor model (FF3FM) for the U.S. high-tech industry. For a total sample of 120 U. READ MORE

  5. 4. Does more trade equal less return - Applied on the Swedish stock market

    University essay from Lunds universitet/Företagsekonomiska institutionen

    Author : Pontus Persson; Semir Pavlica; [2012]
    Keywords : Liquidity and Illiquidity premiums; Fama MacBeth; Fama-French; Swedish stock exchange; CAPM.; Business and Economics;

    Abstract : The main purposes in this master´s thesis are to examine the effect of liquidity on stock returns but also measuring the return premium in relation to liquidity towards the Swedish stock exchange market. In order to test these relationships the Fama and MacBeth (1997) Cross-sectional methodology have been applied. READ MORE

  6. 5. Evaluation of single and three factor CAPM based on Monte Carlo Simulation

    University essay from Institutionen för teknik och samhälle

    Author : Tzveta Iordanova; [2007]
    Keywords : Single factor CAPM; Fama French CAPM; OLS regression; Monte Carlo Simulation;

    Abstract : The aim of this master thesis was to examine whether the noticed effect of Black Monday October 1987 on stock market volatility has also influenced the predictive power of the single factor CAPM and the Fama French three factor CAPM, in order to conclude whether the models are less effective after the stock market crash. I have used an OLS regression analysis and a Monte Carlo Simulation technique. READ MORE