Essays about: "portfolio theory and capital asset pricing model"

Showing result 1 - 5 of 12 essays containing the words portfolio theory and capital asset pricing model.

1. 1. ESG Balancing the Books and the Planet: A Quantitative Analysis of Risk-Adjusted Returns in ESG and Traditional Funds

   University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

   Author : Benjamin Javidi; Malin Larsson; [2023-08-25]
   Keywords : Capital Asset Pricing Model CAPM ; Fama-French three-factor model; ESG; Sharpe ratio; OLS Regression Analysis; Modern Portfolio Theory;

   Abstract : The demand for sustainable investment has increased in the last decade. “Environmental, Social and Governance” (ESG) are characteristics within sustainable investment and are commonly considered in private investing. READ MORE

3. 2. The Size and Value effect of The Fama and French Three Factor Model. Do the variables remain meaningful or redundant? Evidence from the Swedish Stock market 2007-2016

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Marcus Einstulen; [2021]
   Keywords : Asset Pricing Model; Capital Asset Pricing Model; Fama and French Three Factor Model; Portfolio Theory; Swedish Stock Market; Regressions; Students t-test; Business and Economics;

   Abstract : This thesis compared the explanatory power on excess return between the Capital Asset Pricing Model and the Fama and French Three Factor Model on the Swedish Market. Fur- thermore, an evaluation of the independent variables included in the Fama and French Three Factor Model was done. READ MORE

4. 3. Irrational individuals and inefficient markets : A quantitative study of factors’ impact on individuals’ risk willingness

   University essay from Umeå universitet/Nationalekonomi

   Author : Tom Ekelund; [2020]
   Keywords : ;

   Abstract : While conventional academic finance highlights theories within modern portfolio theory such as the Capital Asset Pricing Model, the emerging field of behavioral finance tries to develop these theories by incorporating psychological elements into the equation. Furthermore, an extensively discussed phenomenon is individuals’ risk willingness. READ MORE

5. 4. “Smart Money” in a bear market? : Swedish active equity mutual funds’ ability to add value towards investors in the bear market Q1 2020

   University essay from Stockholms universitet/Företagsekonomiska institutionen

   Author : Mattias Löfvenberg; Simon Pålsson Högström; [2020]
   Keywords : ;

   Abstract : It is well-established by an abundance of previous empirical work presenting evidence that the average active equity mutual fund manager underperforms their benchmark net of expenses persistently over longer time-horizons. Active fund managers have the possibility to invest smart by forecasting the market and change their exposure to the market in regard of macroeconomic events to protect their portfolios violating the theory of an efficient market. READ MORE

6. 5. MODELING CAPITAL ASSET RETURNS ON THE SWEDISH STOCK MARKET - An evaluation of Fama French’s Five Factor Model against its predecessors

   University essay from Lunds universitet/Statistiska institutionen

   Author : Kristoffer Bergram; Ludvig Göransson; [2019]
   Keywords : asset pricing modeling; time series regression; statistics; Fama French Five Factor model; Carhart Four Factor model; Fama French Three Factor model; Swedish stock market; portfolio theory; behavioral economics; Mathematics and Statistics; Business and Economics;

   Abstract : This thesis compared the explanatory rate of three asset pricing models related to excess returns on the Swedish stock market. A more granular evaluation of each model’s factors was also conducted. A random sample of 90 companies was drawn from the Stockholm Stock Exchange (N = 371) using a Blomberg terminal. READ MORE