Essays about: "single-factor CAPM"

Showing result 1 - 5 of 7 essays containing the words single-factor CAPM.

1. 1. Performance Evaluation of Small- and Large-cap stocks - The importance of size effects on the Swedish equity market

   University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

   Author : Andreas Carlsson; Erik Hulth; [2019-02-20]
   Keywords : Performance Evaluation; Asset pricing; Size Effect; Sharpe Ratio; Treynor ratio; Jensen´s alpha; Risk-Adjusted Returns; Fama-French Three-Factor Model; Carhart Four-Factor Model; Multi-factor models; Single-factor model;

   Abstract : This Bachelor´s thesis investigated the performance of small-cap stocks and large-cap stocks on the Swedish equity market (NASDAQ OMX) over the years 2011 to 2016. A number of studies focused on asset pricing have during the last decades indicated that the original Capital Asset Pricing Model (CAPM) is misspecified and has limited power to explain cross-sectional and temporal variations in expected equity returns. READ MORE

3. 2. Momentum Returns in Different Market Climates: Evidence from the Pakistani Stock Market

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Ludvig Övergaard; Sebastian Benic; [2019]
   Keywords : Momentum Returns; Pakistani Stock Market; Market Climates; Dual Beta;

   Abstract : 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

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. A study of the risk-return relationship in the Swedish housing market: evidence from an H-CAPM model

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Adrian Imreorow; Oscar Schagerström; [2011]
   Keywords : housing capital asset pricing model; H-CAPM; housing market; house price returns; risk-return relationship;

   Abstract : This paper investigates the risk-return relationship in the Swedish housing market by testing a housing capital asset pricing model (H-CAPM). The model is applied on one- and two-dwelling houses for permanent living in 238 municipalities between 1982 and 2009. READ MORE

6. 5. The New Swedish Beta: A Study of Single-Factor Domestic CAPM Mispricing by Swedish Industry

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Philip Trocmé; [2010]
   Keywords : cost of capital; single-factor CAPM; globalization;

   Abstract : This study investigates the implementation of the domestic and European single-factor capital asset pricing model in 8 of the largest industries in Sweden. The models are compared to the single-factor global CAPM model and the levels of mispricing are derived. READ MORE