Essays about: "testing capm 2008"

Found 2 essays containing the words testing capm 2008.

  1. 1. Value Investing on the Nordic Stock Market - Does the Magic Formula constitute a viable strategy for outperforming the market?

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Emil Håkansson; Pontus Kvarnmark; [2017]
    Keywords : Value Investing; Sharpe Ratio; Nordic Stock Market; Magic Formula; Business and Economics;

    Abstract : In this thesis we investigate if following the magic formula can yield superior investment returns in relation to the risk taken. The magic formula is a term coined by Joel Greenblatt, describing a systematic approach to successful stock investing. READ MORE

  3. 2. Back Testing the "Magic Formula" in the Nordic Region

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Victor Persson; Niklas Selander; [2009]
    Keywords : Efficient Markets; Magic Formula; Joel Greenblatt;

    Abstract : We will in this thesis back test Joel Greenblatt’s magic formula on stocks in the Nordic Region between January 1st 1998 and January 1st 2008. We will compare the return with benchmarks such as MSCI Nordic and S&P 500 as well as the return predicted by the Capital Assets Pricing Model (CAPM) and Fama French’s three factor model. READ MORE