Essays about: "the CAPM"

Showing result 11 - 15 of 237 essays containing the words the CAPM.

1. 11. Stockholm Stock Exchange and Environmental Rating – A Multifactor Analysis

   University essay from Göteborgs universitet/Graduate School

   Author : Carl Helldén; Julia Lamers; [2022-06-29]
   Keywords : ESG; Environmental; asset pricing models; screening strategies;

   Abstract : The thesis investigates if investors can generate positive abnormal performance by investing in Environmental high-rated stocks on the Stockholm stock exchange based on three screening strategies; positive, negative and best-in-class for value-weighted, long-only and long-short portfolios. The sample is between 2010-2020, using CAPM, Fama-French three factor model and Carhart four factor model. READ MORE

3. 12. Liquidity and its effect on asset returns

   University essay from Uppsala universitet/Företagsekonomiska institutionen

   Author : Philip Mafi; Linnéa Wilhelmsson; [2022]
   Keywords : Asset-pricing; illiquidity premium; liquidity factor;

   Abstract : With data covering 20 years, we test three different liquidity measures' explanatory power in explaining asset returns on the Swedish stock market, and if an illiquidity premium exists. After establishing whether an illiquidity premium exists or not, we test whether the asset pricing models CAPM and the Fama-French three-factor model can benefit from including a liquidity factor. READ MORE

4. 13. Estimating the Market Risk Exposure through a Factor Model with Random Effects

   University essay from Linköpings universitet/Tillämpad matematik; Linköpings universitet/Tekniska fakulteten

   Author : Lukas Börjesson; [2022]
   Keywords : Market risk exposure; non-stationary market risk exposure; non-stationary idiosyncratic risk; factor model; linear regression; linear mixed model; random effects; mixture of gaussians.;

   Abstract : In this thesis, we set out to model the market risk exposure for 251 stocks in the S&P 500 index, during a ten-year period between 2011-04-30 and 2021-03-31. The study brings to light a model not often mentioned in the scientific literature focused on market risk estimation, the linear mixed model. READ MORE

5. 14. Real Estate Tokenization Based on the Blockchain

   University essay from KTH/Fastigheter och byggande

   Author : Yanjiang Lu; [2022]
   Keywords : Real Estate Tokenization; Blockchain; Smart Contract; CAPM; Fastighetstokenisering; Blockchain; Smarta Kontrakt; CAPM;

   Abstract : Real estate is one of the largest assets in the world, but it is also synonymous with low liquidity. Tokenization of real estate emerged in the era of real estate 4.0 as technological innovation to counter the low liquidity, long and expensive transaction process, and high entry threshold of the real estate industry. READ MORE

6. 15. Exploring the relationship between ESG and portfolio performance during times of crisis : a study of the Russia-Ukraine war

   University essay from Stockholms universitet/Finansiering

   Author : Saraj Huq; Tiia Erika Jutila; Oscar Sameland; [2022]
   Keywords : ESG Portfolios; Abnormal Returns; Europe; Fama-French three-factor model; CAPM; ESG; Socially Responsible Investing; CSR; Refinitiv Eikon; Russia-Ukraine war; Russian-Ukrainian war; Russo-Ukrainian war; Crisis;

   Abstract : This thesis explores the relationship between Environmental, Social, and Governance (ESG) ratings and portfolio performance in terms of risk-adjusted returns and volatility during times of crisis. A sample of 761 European public companies with a market capitalisation of at least 300 million euros are divided into high and low ESG portfolios based on their ratings. READ MORE